Just wondering if anyone has an example of using Leave Future Out CV with cmdstanpy
? I see the vingette here which uses brms
and R
heavily. If not, I would be happy to implement it! I just don’t want to recreate the wheel…
Thanks!
Just wondering if anyone has an example of using Leave Future Out CV with cmdstanpy
? I see the vingette here which uses brms
and R
heavily. If not, I would be happy to implement it! I just don’t want to recreate the wheel…
Thanks!
CmdStanPy is pretty new and we don’t have the equivalent of loo implemented in Python (at least as far as I know). We’re looking for more CmdStanPy case studies to publish as vignettes or put in our case study collection, so please let us know if you do replicate that R/brms tutorial in Python with CmdStanPy.
Would you want me to publish a PR to the cmdstanpy
repo? Or is there a better place to put it?
A PR for what? There’s a whole loo
package in R. Are you proposing to code that in Python? If so, it should probably also be a separate package from CmdStanPy, so that it could also be used with PyMC or PyStan or Pyro.
Oh, I was thinking of using arviz
’s loo
and just recreating Paul, Jonah and Aki’s example about LFO-CV. Just using arviz
and cmdstanpy
.
I could share that code here, as part of this thread, or I could put it somewhere else (hence the PR request). There is not an examples/
directory there, so adding the example to that repo is probably not in the cards.
ArviZ docs could take this kind of example
CmdStanPy would definitely benefit by having an example of this in the documentation (where we do have an examples folder)
Cool. I didn’t know ArviZ had an implementation of loo.