I have run two complex multivariate models following this tutorial: Estimating Multivariate Models with brms . The models follow this format: f1 = as.formula('y1~1+var1+var2+var3+(1+var1+var2+var3|GroupID)') f2 = as.formula('y2~1+var1+var2+var3+(1+var1+var2+var3|GroupID)') f3 = as.formula('y1~1+var1…

Hmm, this seems to be an error coming from brms and not loo itself (although it could be a loo error that brms is just catching). @paul.buerkner any ideas here? It sounds like save_all_pars is TRUE but they still get the error.

The error message just gives a suggestions that “perhaps” this is related to “save_all_pars” (because this is the most common problem), but in this case it is not. This is an error that occurs with some 3.x versions of R but should be gone in R 4.x

I have the same error with a distributional model (lognormal family with estimated sigma) but I‘m not able to upgrade R to 4.x (older Mac which doesn‘t run Catalina) Is there anything I could do?

Can you provide a minimal reproducible example?

The error happens when I truncate the outcome variable, which is also true for my original model… model.test <- brm( bf(hp | trunc(lb = 52, ub = 335) ~ mpg + (1 | cyl), sigma ~ (1 | cyl)), family = lognormal(), data = mtcars, save_all_pars = TRUE ) model.test <- add_cr…

In your case, there seems to be a numerical problem with the truncated lognormal distribution that is unlikely to be related to moment matching directly.

Could it be that the error was fixed by https://github.com/stan-dev/loo/pull/153 ? @Pascal_J : if you do traceback() right after you get the error (running on 1 core), you may compare that with what I reported in https://github.com/stan-dev/rstan/issues/852 .

This is the result of traceback(): 31: stop(..., call. = FALSE) 30: stop2("Moment matching failed. Perhaps you did not set ", "'save_all_pars' to TRUE when fitting your model?") 29: loo_moment_match.brmsfit(x = .x1, loo = .x2, newdata = .x3, resp = .x4, k_threshold = .x5, check = .x6) 28: …

Updating to the master branch of stan-dev/loo had no effect.

Yes, the traceback looks quite different (it also doesn’t show the failure in validate_ll that made me think of that possibility). I had put some breakpoints using debug in inner functions such as loo_moment_match, then stepped line by line to see what the data looked like right before the failure.

Comparing complex multivariate models with loo_compare

Interfaces brms

htrier September 30, 2020, 9:45am 14

Update: this issue has been solved here

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Comparing complex multivariate models with loo_compare

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