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Add hierarchical stacking #174
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Yeah it would be nice to support this. Regarding the extra dependence on Stan, would the loo package have to run the Stan code from step 3 for the user? |
Perhaps in this case the loo package can serves as a stan-model-generator: compute pointwise loo, suggest a default stacking model, and generate a stan file. Then user can run/modify this generated stan file on their own. Is it possible that there could be dependence on rstan, but such dependence is only checked/brought when certain loo::function is called? |
Interesting idea. Would be curious to know what other people think of this option, but yeah that's a possibility.
In theory yes, but RStan isn't a typical package so we'd need to check if that works (but I think it should). Do you need to call |
Given the new research progress on "hierarchical stacking", it would be useful to implement this new tool into the loo package.
This new tool needs more user customization: after a few models are fit, the user needs to
The challenge for putting this package into the present package lies in that
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