부산대학교 도서관

We go through the process of crafting a robust and numerically stable online algorithm for the computation of the Watanabe-Akaike information criteria (WAIC). We implement this algorithm in the NIMBLE software. The implementation is performed in an online manner and does not require the storage in memory of the complete samples from the posterior distribution. This algorithm allows the user to specify a specific form of the predictive density to be used in the computation of WAIC, in order to cater to specific prediction goals. We then comment and explore via simulations the use of different forms of the predictive density in the context of different predictive goals. We find that when using marginalized predictive densities, WAIC is sensitive to the grouping of the observations into a joint density.
Comment: 27 pages, 9 tables. This is a preprint of the MA in Statistics thesis of Joshua Hug at the University of California, Berkeley, submitted May 2021