Efficient leave-one-out cross-validation for Bayesian non-factorized normal and Student-t models - Bürkner, Paul-Christian; Gabry, Jonah; Vehtari, Aki (Computational statistics, 2021)
Keywords: Autoregressive models; Bayesian analysis; Economic Theory/Quantitative Economics/Mathematical Methods; Mathematics and Statistics; Model accuracy; Original Paper; Probability and Statistics in Computer Science; Probability Theory and Stochastic Processes; Statistics; Non-factorized models; Bayesian inference; SAR models; Cross-validation; Pareto-smoothed importance-sampling