Aidan D. Bindoff

Partial pooling predicts cross-validation reliability: a closed-form triage and Rao-Blackwellised cure for hierarchical LOO

For hierarchical models, Pareto-smoothed importance-sampling leave-one-out cross-validation (PSIS-LOO) fails on the folds where a random-effect coordinate is data-driven and its group is small. We show that the Gelman-Pardoe pooling factor and structural leverage predict these folds from model structure and group sizes...