Pareto smooth tail function to Pareto smooth the tail of a vector. Exported for usage in other packages, not by users.

Pareto smooth tail function to Pareto smooth the tail of a vector. Exported for usage in other packages, not by users.

Usage

ps_tail(
  x,
  ndraws_tail,
  smooth_draws = TRUE,
  tail = c("right", "left"),
  are_log_weights = FALSE,
  ...
)

Arguments

x

(multiple options) One of:

• A matrix of draws for a single variable (iterations x chains). See extract_variable_matrix().

• An rvar.

ndraws_tail

(numeric) number of draws for the tail. If ndraws_tail is not specified, it will be set to length(x).

smooth_draws

(logical) Should the tails be smoothed? Default is TRUE. If FALSE, k will be calculated but x will remain untouched.

tail

(string) The tail to diagnose/smooth:

• "right": diagnose/smooth only the right (upper) tail

• "left": diagnose/smooth only the left (lower) tail

are_log_weights

(logical) Are the draws log weights? Default is FALSE. If TRUE computation will take into account that the draws are log weights, and only right tail will be smoothed.

...

Arguments passed to individual methods (if applicable).

References

Aki Vehtari, Daniel Simpson, Andrew Gelman, Yuling Yao and Jonah Gabry (2024). Pareto Smoothed Importance Sampling. Journal of Machine Learning Research, 25(72):1-58. PDF

See also

pareto_smooth for the user-facing function.