Is loo a good package for Autoregressive model?

Hi :)

I have a model looks like this:

It is a variation of autoregressive model, and the sum up term take everything that happened before take into account, with a γ (a forgetting factor between 0~1, namely give the more recent events higher weights).

And I get high pareto k values (Most of them are bad to very bad) when fitting it with loo, but the posterior prediction checking looks good, and I don’t know where to start troubleshooting with it.

I was wondering does this indicate that loo is not a good package for my model? Or that my model is very badly misspecificed?

Thank you very much!

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If the model is overfitted, and PSIS fails, then you get high Pareto k values, and the posterior predictive checking looks good as the model is overfitting.

To say something more, can you post the loo output diagnostic and your model code?