% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/E_loo.R
\name{E_loo}
\alias{E_loo}
\alias{E_loo.default}
\alias{E_loo.matrix}
\title{Compute weighted expectations}
\usage{
E_loo(x, psis_object, ...)

\method{E_loo}{default}(
  x,
  psis_object,
  ...,
  type = c("mean", "variance", "quantile"),
  probs = NULL,
  log_ratios = NULL
)

\method{E_loo}{matrix}(
  x,
  psis_object,
  ...,
  type = c("mean", "variance", "quantile"),
  probs = NULL,
  log_ratios = NULL
)
}
\arguments{
\item{x}{A numeric vector or matrix.}

\item{psis_object}{An object returned by \code{\link[=psis]{psis()}}.}

\item{...}{Arguments passed to individual methods.}

\item{type}{The type of expectation to compute. The options are
\code{"mean"}, \code{"variance"}, and \code{"quantile"}.}

\item{probs}{For computing quantiles, a vector of probabilities.}

\item{log_ratios}{Optionally, a vector or matrix (the same dimensions as \code{x})
of raw (not smoothed) log ratios. If working with log-likelihood values,
the log ratios are the \strong{negative} of those values. If \code{log_ratios} is
specified we are able to compute \link[=pareto-k-diagnostic]{Pareto k}
diagnostics specific to \code{E_loo()}.}
}
\value{
A named list with the following components:
\describe{
\item{\code{value}}{
The result of the computation.

For the matrix method, \code{value} is a vector with \code{ncol(x)}
elements, with one exception: when \code{type="quantile"} and
multiple values are specified in \code{probs} the \code{value} component of
the returned object is a \code{length(probs)} by \code{ncol(x)} matrix.

For the default/vector method the \code{value} component is scalar, with
one exception: when \code{type} is \code{"quantile"} and multiple values
are specified in \code{probs} the \code{value} component is a vector with
\code{length(probs)} elements.
}
\item{\code{pareto_k}}{
Function-specific diagnostic.

If \code{log_ratios} is not specified when calling \code{E_loo()},
\code{pareto_k} will be \code{NULL}. Otherwise, for the matrix method it
will be a vector of length \code{ncol(x)} containing estimates of the shape
parameter \eqn{k} of the generalized Pareto distribution. For the
default/vector method, the estimate is a scalar.
}
}
}
\description{
The \code{E_loo()} function computes weighted expectations (means, variances,
quantiles) using the importance weights obtained from the
\link[=psis]{PSIS} smoothing procedure. The expectations estimated by the
\code{E_loo()} function assume that the PSIS approximation is working well.
\strong{A small \link[=pareto-k-diagnostic]{Pareto k} estimate is necessary,
but not sufficient, for \code{E_loo()} to give reliable estimates.} Additional
diagnostic checks for gauging the reliability of the estimates are in
development and will be added in a future release.
}
\examples{
\donttest{
# Use rstanarm package to quickly fit a model and get both a log-likelihood
# matrix and draws from the posterior predictive distribution
library("rstanarm")

# data from help("lm")
ctl <- c(4.17,5.58,5.18,6.11,4.50,4.61,5.17,4.53,5.33,5.14)
trt <- c(4.81,4.17,4.41,3.59,5.87,3.83,6.03,4.89,4.32,4.69)
d <- data.frame(
  weight = c(ctl, trt),
  group = gl(2, 10, 20, labels = c("Ctl","Trt"))
)
fit <- stan_glm(weight ~ group, data = d, refresh = 0)
yrep <- posterior_predict(fit)
dim(yrep)

log_ratios <- -1 * log_lik(fit)
dim(log_ratios)

r_eff <- relative_eff(exp(-log_ratios), chain_id = rep(1:4, each = 1000))
psis_object <- psis(log_ratios, r_eff = r_eff, cores = 2)

E_loo(yrep, psis_object, type = "mean")
E_loo(yrep, psis_object, type = "var")
E_loo(yrep, psis_object, type = "quantile", probs = 0.5) # median
E_loo(yrep, psis_object, type = "quantile", probs = c(0.1, 0.9))

# To get Pareto k diagnostic with E_loo we also need to provide the negative
# log-likelihood values using the log_ratios argument.
E_loo(yrep, psis_object, type = "mean", log_ratios = log_ratios)
}

}
