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### Purpose of this package
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This package implements model comparison methods as used and explained in StatisticalRethinking (chapter 7).
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This package implements model comparison methods as used and explained in StatisticalRethinking (chapter 7). Thus, ParetoSmoothedImportanceSampling.jl is part of the [StatisticalRethinking family of packages](https://github.com/StatisticalRethinkingJulia/StatisticalRethinking.jl).
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The most important methods are *Pareto smoothed importance sampling* (PSIS) and
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PSIS leave-one-out cross-validation based on the [Matlab package called `PSIS` by Aki Vehtari](https://github.com/avehtari/PSIS.git). The Julia translation has been done by @alvaro1101 (on Github).
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PSIS leave-one-out cross-validation based on the [Matlab package called `PSIS` by Aki Vehtari](https://github.com/avehtari/PSIS.git). The Julia translation has been done by @alvaro1101 (on Github) in a (unpublished) package called [PSIS.jl](https://github.com/alvaro1101/PSIS.jl).
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Updates for Julia v1+, the new Pkg ecosystem and the addition of WAIC and pk utilities have been done by Rob J Goedman.
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ParetoSmoothedImportanceSampling.jl will become part of the [StatisticalRethinking.jl](https://github.com/StatisticalRethinkingJulia/StatisticalRethinking.jl).
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### Installation
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Once registered, ParetoSmoothedImportanceSampling.jl can be installed with:
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```
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Pkg.dev("ParetoSmoothedImportanceSampling")
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Pkg.add("ParetoSmoothedImportanceSampling")
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```
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Usually I have only a few packages `permanently` installed, e.g.:
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```
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(@v1.6) pkg> st
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`psislw()` -
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Pareto smoothed importance sampling.
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`gpdfitnew()` -
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Estimate the paramaters for the Generalized Pareto Distribution (GPD).
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`gpinv()` -
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Inverse Generalised Pareto distribution function.
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`waic()` -
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Compute WAIC for a loglikelihood matrix.
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`pk_plot()` -
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Plot pk values.
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Additional function:
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`gpdfitnew()` -
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Estimate the paramaters for the Generalized Pareto Distribution (GPD).
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`gpinv()` -
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Inverse Generalised Pareto distribution function.
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`var2()` -
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Uncorrected variance.
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### Corresponding R code
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The corresponding R code can be found in [R package called
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`loo`](https://github.com/stan-dev/loo) which is also available in CRAN.
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Corresponding R code for the PSIS methods can be found in [R package called
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`loo`](https://github.com/stan-dev/loo) which is available in CRAN.
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