fit$loo(moment_match = TRUE) work?
Unfortunately not. This is because the
loo_moment_match() function in the
loo package requires arguments like
log_prob_upars (described in Moment matching for efficient approximate leave-one-out cross-validation (LOO) — loo_moment_match • loo). These are possible to specify automatically if using RStan but not yet if using any interface based on CmdStan (e.g., RStan has a function
rstan::unconstrain_pars() but we don’t have the equivalent in CmdStan yet). It will hopefully be possible in the future!
Note that if you have fitted a costly model with
cmdstanr and you need to do
loo with moment matching, and you don’t want to re-fit the model, it is possible to recompile the model with
rstan for use in conjunction with the draws from
I’ll try to work out exactly how to do this (
brms manages it somehow or other) and post back here with a code snippet in the next day or two.
@jsocolar good point! Would be cool to see an example of this.