Merge pull request #3 from itsdfish/master

Add DIC

Author: goedman

ParetoSmootherImportanceSampling/Project.toml

@@ -0,0 +1,2 @@
+[deps]
+Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"

README.md

@@ -58,6 +58,9 @@ The cars WAIC example requires RDatasets.jl to be installed and functioning.
 `waic()` -
     Compute WAIC for a loglikelihood matrix.
 
+`dic()` -
+    Deviance Information Criterion.
+
 `pk_qualify()` -
     Show location of pk values.
 

examples/arsenic/compare.png

@@ -32,17 +32,17 @@ arXiv preprint arXiv:1507.02646.
 
 module ParetoSmoothedImportanceSampling
 
-using StatsFuns
+using StatsFuns, Statistics
 
 psis_path = @__DIR__
 
 include("psisloo.jl")
 include("psislw.jl")
 include("gpdfitnew.jl")
 include("gpinv.jl")
-#include("logsumexp.jl")
 include("waic.jl")
 include("pk_utilities.jl")
+include("dic.jl")
 
 export
     psis_path

src/ParetoSmoothedImportanceSampling.jl

@@ -0,0 +1,18 @@
+
+"""
+    dic(loglike::AbstractVector{<:Real})
+
+Computes Deviance Information Criterion (DIC).
+
+# Arguments
+* `log_lik::AbstractArray`: A vector of posterior log likelihoods
+
+# Returns
+* `dic::Real`: DIC value
+"""
+function dic(loglike::AbstractVector{<:Real})
+    D = deviance.(loglike)
+    return mean(D) + 0.5 * var(D)
+end
+
+deviance(loglikelihood::Real) = -2 * loglikelihood