stan-dev / loo

loo R package for approximate leave-one-out cross-validation (LOO-CV) and Pareto smoothed importance sampling (PSIS)

Home Page:https://mc-stan.org/loo

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loo_predictive_metric and loo_crps could accept psis objects to reduce computation

jgabry opened this issue · comments

If the user already has a psis object then loo_predictive_metric and loo_[s]crps could use that object instead of rerunning psis internally (similar to what E_loo already does, except in this case it would be optional). If no psis object is provided then they could compute it as they do now. @LeeviLindgren @avehtari what do you think? (This doesn't need to be done right now, it could be for the next release after this one.)

I prefer the behavior in different functions to be consistent, so if E_loo does that then it would be good to have in other functions, too

Agreed, makes sense