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Pareto smoothing for clustered draws (validate_search = FALSE)#507

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fweber144 merged 3 commits into
stan-dev:masterfrom
fweber144:psis_sis
Apr 6, 2025
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Pareto smoothing for clustered draws (validate_search = FALSE)#507
fweber144 merged 3 commits into
stan-dev:masterfrom
fweber144:psis_sis

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Implements Pareto smoothing for clustered draws (in case of cv_method = "LOO" and validate_search = FALSE). For details, see the NEWS.md entry added here.

Commit 26a23cd contains the changes originally implemented by @avehtari in #496.

@fweber144 fweber144 requested a review from avehtari March 31, 2025 19:22
Comment thread R/cv_varsel.R
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Commit 2a964a3 contains my bug fixes (at least I assume these to be bug fixes, see #496 (comment) for the original comment) and some minor enhancements. I have commented on a line that needs to be checked.

@fweber144 fweber144 merged commit 9566ce1 into stan-dev:master Apr 6, 2025
@fweber144 fweber144 deleted the psis_sis branch April 6, 2025 19:51
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2 participants