Create a psis-loo Python package

[avehtari]

Summary:

Add psis.py from https://github.com/avehtari/PSIS/tree/master/py

Description:

It would be nice is PyStan would include PSIS-LOO Python code is available at https://github.com/avehtari/PSIS/tree/master/py

I was going to make a PyStan version of rstanarm demonstration as a Kaggle notebook https://www.kaggle.com/avehtari/d/uciml/pima-indians-diabetes-database/bayesian-logistic-regression-with-rstanarm but that would require adding psis.py to PyPI, but since PyStan is already in PyPI, it would be easier to just include psis.py to PyStan.

[ariddell]

Adding things to pypi is really easy. I'm happy to offer advice. Is psis-loo in RStan or is it a separate package?

[avehtari]

For R there is loo package which is in CRAN.

For Python there is psis-loo code https://github.com/avehtari/PSIS/tree/master/py and it's not in pypi

R loo package has now more features than the above mentioned Python psis-loo code, but even the basic psis-loo code in pypi or as part of PyStan would be helpful.

I interpret your comment so that you recommend adding the current psis-loo Pythin code to pypi?

[jgabry]

Devin started working on a package for python (https://github.com/detcitty/loo) but I'm not sure what the status of that is.

[bob-carpenter]

He said he wanted to come back and keep working on it, but then I never heard anything again. Why don't you try emailing him directly?

On Dec 14, 2016, at 5:18 PM, Jonah Gabry notifications@github.com wrote:

Devin started working on a package for python (https://github.com/detcitty/loo) but I'm not sure what the status of that is.

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[jgabry]

I did email him earlier this fall but I don't think I heard back. I can reach out again.

On Wed, Dec 14, 2016 at 7:00 PM, Bob Carpenter notifications@github.com wrote:

He said he wanted to come back and keep working on it, but then I never heard anything again. Why don't you try emailing him directly?

On Dec 14, 2016, at 5:18 PM, Jonah Gabry notifications@github.com wrote:

Devin started working on a package for python ( https://github.com/detcitty/loo) but I'm not sure what the status of that is.

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[ariddell]

Getting a loo pypi package together seems like low-hanging fruit. Any news @jgabry ? The repo @detcitty started looks like a good start.

[jgabry]

Agree that it's a low-hanging fruit. @detcitty are you planning to continue working on this or should we look into finding someone else to pick up where you've left off?

[ariddell]

@bgoodri could this be a summer of code project (if @detcitty doesn't have time)?

[bgoodri]

Yeah, @jgabry would be a better mentor though.

On Wed, Jan 18, 2017 at 8:49 AM, Allen Riddell notifications@github.com wrote:

@bgoodri https://github.com/bgoodri could this be a summer of code project (if @detcitty https://github.com/detcitty doesn't have time)?

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[jburos]

FYI in case this is helpful, we ported the PSIS-LOO code from https://github.com/avehtari/PSIS/tree/master/py into a python package called stanity. It's meant to be an interim solution until a more official package was released, but am also happy to help with that effort if I can.

[ariddell]

This is great. Thanks!

Does this mean we don't need a separate psis package on PyPI?

Should we perhaps create a section "third-party libraries" in the documentation and point everyone to stanity? (This is what, for example, aiohttp does: third-party libraries.)

[ariddell]

On second thought, what about adding psis-loo to pystan under pystan.model_selection (to mirror sklearn)? Does this interest anyone?

[ahartikainen]

I think ArviZ library will include PSIS-loo code.

I still need to make sure it works with PyStan fits.

[ahartikainen]

@avehtari are you fine with ArviZ solution?

[avehtari]

@avehtari are you fine with ArviZ solution?

yes