PSIS

PSIS.jl implements the Pareto smoothed importance sampling (PSIS) algorithm from ^{[VehtariSimpson2021]}.

Given a set of importance weights used in some estimator, PSIS both improves the reliability of the estimates by smoothing the importance weights and acts as a diagnostic of the reliability of the estimates.

See psis for details.

VehtariSimpson2021Vehtari A, Simpson D, Gelman A, Yao Y, Gabry J. (2021). Pareto smoothed importance sampling. arXiv:1507.02646v7 [stat.CO]