arviz.psislw

arviz.psislw(log_weights, reff=1.0)[source]

Pareto smoothed importance sampling (PSIS).

Parameters:
log_weights : array

Array of size (n_samples, n_observations)

reff : float

relative MCMC efficiency, ess / n

Returns:
lw_out : array

Smoothed log weights

kss : array

Pareto tail indices