% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/waic.R
\name{waic}
\alias{waic}
\alias{waic.array}
\alias{waic.matrix}
\alias{waic.function}
\alias{is.waic}
\title{Widely applicable information criterion (WAIC)}
\usage{
waic(x, ...)

\method{waic}{array}(x, ...)

\method{waic}{matrix}(x, ...)

\method{waic}{`function`}(x, ..., data = NULL, draws = NULL)

is.waic(x)
}
\arguments{
\item{x}{A log-likelihood array, matrix, or function. The \strong{Methods (by class)}
section, below, has detailed descriptions of how to specify the inputs for
each method.}

\item{draws, data, ...}{For the function method only. See the
\strong{Methods (by class)} section below for details on these arguments.}
}
\value{
A named list (of class \code{c("waic", "loo")}) with components:

\describe{
\item{\code{estimates}}{
A matrix with two columns (\code{"Estimate"}, \code{"SE"}) and three
rows (\code{"elpd_waic"}, \code{"p_waic"}, \code{"waic"}). This contains
point estimates and standard errors of the expected log pointwise predictive
density (\code{elpd_waic}), the effective number of parameters
(\code{p_waic}) and the information criterion \code{waic} (which is just
\code{-2 * elpd_waic}, i.e., converted to deviance scale).
}
\item{\code{pointwise}}{
A matrix with three columns (and number of rows equal to the number of
observations) containing the pointwise contributions of each of the above
measures (\code{elpd_waic}, \code{p_waic}, \code{waic}).
}
}
}
\description{
The \code{waic()} methods can be used to compute WAIC from the pointwise
log-likelihood. However, we recommend LOO-CV using PSIS (as implemented by
the \code{\link[=loo]{loo()}} function) because PSIS provides useful diagnostics as well as
effective sample size and Monte Carlo estimates.
}
\section{Methods (by class)}{
\itemize{
\item \code{array}: An \eqn{I} by \eqn{C} by \eqn{N} array, where \eqn{I}
is the number of MCMC iterations per chain, \eqn{C} is the number of
chains, and \eqn{N} is the number of data points.

\item \code{matrix}: An \eqn{S} by \eqn{N} matrix, where \eqn{S} is the size
of the posterior sample (with all chains merged) and \eqn{N} is the number
of data points.

\item \code{function}: A function \code{f()} that takes arguments \code{data_i} and \code{draws} and returns a
vector containing the log-likelihood for a single observation \code{i} evaluated
at each posterior draw. The function should be written such that, for each
observation \code{i} in \code{1:N}, evaluating\preformatted{f(data_i = data[i,, drop=FALSE], draws = draws)
}

results in a vector of length \code{S} (size of posterior sample). The
log-likelihood function can also have additional arguments but \code{data_i} and
\code{draws} are required.

If using the function method then the arguments \code{data} and \code{draws} must also
be specified in the call to \code{loo()}:
\itemize{
\item \code{data}: A data frame or matrix containing the data (e.g.
observed outcome and predictors) needed to compute the pointwise
log-likelihood. For each observation \code{i}, the \code{i}th row of
\code{data} will be passed to the \code{data_i} argument of the
log-likelihood function.
\item \code{draws}: An object containing the posterior draws for any
parameters needed to compute the pointwise log-likelihood. Unlike
\code{data}, which is indexed by observation, for each observation the
entire object \code{draws} will be passed to the \code{draws} argument of
the log-likelihood function.
\item The \code{...} can be used if your log-likelihood function takes additional
arguments. These arguments are used like the \code{draws} argument in that they
are recycled for each observation.
}
}}

\examples{
### Array and matrix methods
LLarr <- example_loglik_array()
dim(LLarr)

LLmat <- example_loglik_matrix()
dim(LLmat)

waic_arr <- waic(LLarr)
waic_mat <- waic(LLmat)
identical(waic_arr, waic_mat)


\dontrun{
log_lik1 <- extract_log_lik(stanfit1)
log_lik2 <- extract_log_lik(stanfit2)
(waic1 <- waic(log_lik1))
(waic2 <- waic(log_lik2))
print(compare(waic1, waic2), digits = 2)
}

}
\references{
Watanabe, S. (2010). Asymptotic equivalence of Bayes cross validation and
widely application information criterion in singular learning theory.
\emph{Journal of Machine Learning Research} \strong{11}, 3571-3594.

Vehtari, A., Gelman, A., and Gabry, J. (2017). Practical Bayesian model
evaluation using leave-one-out cross-validation and WAIC.
\emph{Statistics and Computing}. 27(5), 1413--1432. doi:10.1007/s11222-016-9696-4
(\href{https://link.springer.com/article/10.1007/s11222-016-9696-4}{journal version},
\href{https://arxiv.org/abs/1507.04544}{preprint arXiv:1507.04544}).

Vehtari, A., Simpson, D., Gelman, A., Yao, Y., and Gabry, J. (2019).
Pareto smoothed importance sampling.
\href{https://arxiv.org/abs/1507.02646}{preprint arXiv:1507.02646}
}
\seealso{
\itemize{
\item The \strong{loo} package \href{https://mc-stan.org/loo/articles/}{vignettes} and
Vehtari, Gelman, and Gabry (2017) and Vehtari, Simpson, Gelman, Yao,
and Gabry (2019) for more details on why we prefer \code{loo()} to \code{waic()}.
\item \code{\link[=loo_compare]{loo_compare()}} for comparing models on approximate LOO-CV or WAIC.
}
}
