Posterior Covariance Information Criterion

We introduce an information criterion, PCIC, for predictive evaluation based on quasi-posterior distributions. It is regarded as a natural generalisation of the widely applicable information criterion (WAIC) and can be computed via a single Markov chain Monte Carlo run. PCIC is useful in a variety of predictive settings that are not well dealt with in WAIC, including weighted likelihood inference and quasi-Bayesian predictio

Posterior Covariance Information Criterion

ISM Online Open House, 2021.6.18統計数理研究所オープンハウス（オンライン開催）、R3.6.18ポスター発