most citedRobust leave-one-out cross-validation for high-dimensional Bayesian models

22 citations · 22 across the 1 of their papers we have counts for

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stat.CO2022★ 22 cited

Robust leave-one-out cross-validation for high-dimensional Bayesian models

Luca Silva, Giacomo Zanella

Leave-one-out cross-validation (LOO-CV) is a popular method for estimating out-of-sample predictive accuracy. However, computing LOO-CV criteria can be computationally expensive du…