arviz.psislw

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

Pareto smoothed importance sampling (PSIS).

Parameters
log_weightsarray

Array of size (n_samples, n_observations)

refffloat

relative MCMC efficiency, ess / n

Returns
lw_outarray

Smoothed log weights

kssarray

Pareto tail indices