Posterior Covariance Information Criterion

06/25/2021

∙

by   Yukito Iba, et al.

∙

0

∙

share

We introduce an information criterion, PCIC, for predictive evaluation based on quasi-posterior distributions. It is regarded as a natural generalisation of the widely applicable information criterion (WAIC) and can be computed via a single Markov chain Monte Carlo run. PCIC is useful in a variety of predictive settings that are not well dealt with in WAIC, including weighted likelihood inference and quasi-Bayesian prediction