Added sorted log ratio path for loo - #452
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This is how benchmark results would change (along with a 95% confidence interval in relative change) if dce95a1 is merged into master:
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VisruthSK
marked this pull request as ready for review
June 18, 2026 03:04
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This is how benchmark results would change (along with a 95% confidence interval in relative change) if 314e74f is merged into master:
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avehtari
requested changes
Aug 28, 2026
avehtari
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avehtari
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exported function might need NEWS.md item
| ps_convergence_rate(k, ndraws(x)) | ||
| } | ||
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| if (ndraws_tail < 5) { | ||
| warning_no_call( | ||
| "Can't fit generalized Pareto distribution ", | ||
| "because ndraws_tail is less than 5." | ||
| ) | ||
| return(list(x = x, k = NA)) | ||
| } | ||
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seems like this should be separate from the sorted log ratio path?
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| #' @export | ||
| ps_tail_sorted_log_ratios <- function(x, cutoff, smooth_draws = TRUE, ...) { |
| ... | ||
| ) | ||
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| smoothed$tail <- log(smoothed$tail) |
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Is it intentional to return $tail while ps_tail() returns $x? If intentional, should be documented in the roxygen
| #' Function to Pareto smooth a sorted tail of log ratios. Exported | ||
| #' for usage in other packages, not by users. | ||
| #' | ||
| #' @param x Vector of tail elements already sorted in ascending order. Already shifted to account for overflow. |
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This PR was made with assistance from Codex.
Summary
Add
ps_tail_sorted_log_ratios(), a specialized helper forlooto use when the log-ratio tail has already been sorted. See stan-dev/loo#290, especially this comment for more motivation.Removed warning in
ps_tail()for too few tail draws as the aforementioned comment suggests. Also deduplicate some code in ps_tail() with a new internal helper.Copyright and Licensing
By submitting this pull request, the copyright holder is agreeing to license the submitted work under the following licenses: