loo v2.7.0

Major changes

• New sample size specific diagnostic threshold for Pareto k.
  The pre-2022 version of the PSIS paper recommended diagnostic thresholds of
  k < 0.5 "good"
0.5 <= k < 0.7 "ok"
0.7 <= k < 1 "bad"
k>=1 "very bad"
  The 2022 revision of the PSIS paper now recommends
  k < min(1 - 1/log10(S), 0.7) "good"
min(1 - 1/log10(S), 0.7) <= k < 1 "bad"
k > 1 "very bad"
  where S is the sample size.
  There is now one fewer diagnostic threshold ("ok" has been removed), and the
  most important threshold now depends on the sample size S. With sample sizes
  100, 320, 1000, 2200, 10000 the sample size specific part 1 - 1/log10(S)
  corresponds to thresholds of 0.5, 0.6, 0.67, 0.7, 0.75.
  Even if the sample size grows, the bias in the PSIS estimate dominates if
  0.7 <= k < 1, and thus the diagnostic threshold for good is capped at
  0.7 (if k > 1, the mean does not exist and bias is not a valid measure).
  The new recommended thresholds are based on more careful bias-variance analysis
  of PSIS based on truncated Pareto sums theory. For those who use the Stan
  default 4000 posterior draws, the 0.7 threshold will be roughly the same, but
  there will be fewer warnings as there will be no diagnostic message for 0.5 <= k < 0.7.
  Those who use smaller sample sizes may see diagnostic messages with a
  threshold less than 0.7, and they can simply increase the sample size to about
  2200 to get the threshold to 0.7.

• No more warnings if the r_eff argument is not provided, and the
  default is now r_eff = 1. The summary print output showing MCSE and ESS now
  shows diagnostic information on the range of r_eff. The change was made to
  reduce unnecessary warnings. The use of r_eff does not change the expected
  value of elpd_loo, p_loo, and Pareto k, and is needed only to estimate
  MCSE and ESS. Thus it is better to show the diagnostic information about r_eff
  only when MCSE and ESS values are shown.

Other changes

• Make Pareto k Inf if it is NA by @topipa in #224
• Fix bug in E_loo() when type is variance by @jgabry in #22
• E_loo() now allows type="sd" by @jgabry in #226
• include cc-by 4.0 license for documentation by @jgabry in #216
• Add order statistic warning by @yannmclatchie in #230
• pointwise() convenience function for extracting pointwise estimates by @jgabry in #241
• use new k threshold by @avehtari in #235
• simplify mcse_elpd using log-normal approximation by @avehtari in #246
• show NA for n_eff/ESS if k > k_threshold by @avehtari in #248
• improved E_loo() Pareto-k diagnostics by @avehtari in #247
• Doc improvement in loo_subsample.R by @avehtari in #238
• Fix typo and deprecations in LFO vignette by @jgabry in #244
• update array syntax in vignettes by @jgabry in #229
• Fix unbalanced knitr backticks by @jgabry in #232
• Register internal S3 methods by @jgabry in #239
• Avoid R cmd check NOTEs about some internal functions by @jgabry in #240
• fix R cmd check note due to importance_sampling roxygen template by @jgabry in #233
• fix R cmd check notes by @jgabry in #242

New Contributors

• @yannmclatchie made their first contribution in #230

Full Changelog: v2.6.0...v2.7.0