Limitations of "Limitations of Bayesian leave-one-out cross-validation for model selection"
Aki Vehtari, Daniel P. Simpson, Yuling Yao, Andrew Gelman
TL;DR
This paper critically discusses the limitations of Bayesian leave-one-out cross-validation for model selection, highlighting potential issues and considerations in its application.
Contribution
It provides an in-depth analysis of the shortcomings of Bayesian LOO-CV in model selection, based on a discussion of Gronau and Wagenmakers' work.
Findings
Identifies key limitations of Bayesian LOO-CV
Highlights potential biases in model comparison
Suggests caution in interpreting LOO-CV results
Abstract
This article is an invited discussion of the article by Gronau and Wagenmakers (2018) that can be found at https://dx.doi.org/10.1007/s42113-018-0011-7.
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Taxonomy
TopicsStatistical Methods and Bayesian Inference · Statistical Methods and Inference · Gaussian Processes and Bayesian Inference