kfold.brmsfit.Rmd

---
title: "``kfold.brmsfit``"
output: html_document
---

```{r setup, include=FALSE}
knitr::opts_chunk$set(echo = TRUE)
library(brms)

data(epilepsy)
```



K-Fold Cross-Validation

#### Description 

Perform exact K-fold cross-validation by refitting the model K times each leaving out one-Kth of the original data.

#### Usage
<pre><code>
## S3 method for class 'brmsfit'
kfold(x, ..., compare = TRUE, K = 10, Ksub = NULL,
      folds = NULL, group = NULL, exact_loo = NULL, resp = NULL,
      model_names = NULL, save_fits = FALSE)
kfold(x, ...)
</code></pre>

#### Arguments
* ``x``: A fitted model object.
* ``...``: More fitted model objects or further #### Arguments passed to the underlying postprocessing functions.
* ``compare`` A flag indicating if the information criteria of the models should be compared to each other via compare_ic.
* ``K``: The number of subsets of equal (if possible) size into which the data will be partitioned for performing K-fold cross-validation. The model is refit K times, each time leaving out one of the K subsets. If K is equal to the total number of observations in the data then K-fold cross-validation is equivalent to exact leave-one-out cross-validation.
* ``Ksub``: Optional number of subsets (of those subsets defined by K) to be evaluated. If NULL (the default), K-fold cross-validation will be performed on all subsets. If Ksub is a single integer, Ksub subsets (out of all K) subsets will be randomly
chosen. If Ksub consists of multiple integers or a one-dimensional array (created via as.array) potentially of length one, the corresponding subsets will be used.
This argument is primarily useful, if evaluation of all subsets is infeasible for some reason.
* ``folds``: Determines how the subsets are being constructed. Possible values are NULL
(the default), "stratified", "balanced", or "loo". May also be a vector of length equal to the number of observations in the data. Alters the way group is handled. More information is provided in the ’Details’ section.
* group Optional name of a grouping variable or factor in the model. What exactly is done with this variable depends on argument folds. More information is provided in the ’details’ section.
* ``exact_loo``: Deprecated! Please use folds = "loo" instead.
* `` resp``: Optional names of response variables. If specified, predictions are performed only for the specified response variables.
* model_names If NULL (the default) will use model names derived from deparsing the call. Otherwise will use the passed values as model names.
* ``save_fits``: If TRUE, a component fits is added to the returned object to store the crossvalidated
brmsfit objects and the indices of the omitted observations for each fold. Defaults to FALSE.


#### Examples
```{r}
## Not run:
fit1 <- brm(count ~ log_Age_c + log_Base4_c * Trt +
              (1|patient) + (1|obs),
            data = epilepsy, family = poisson())
```

```{r}
# throws warning about some pareto k estimates being too high
(loo1 <- loo(fit1))
# perform 10-fold cross validation
(kfold1 <- kfold(fit1, chains = 1)
```
 
#### Details
The kfold function performs exact K-fold cross-validation. First the data are partitioned into K folds (i.e. subsets) of equal (or as close to equal as possible) size by default. Then the model is refit K times, each time leaving out one of the K subsets. IfK is equal to the total number of observations in the data then K-fold cross-validation is equivalent to exact leave-one-out cross-validation (to which loo is an efficient approximation). The compare_ic function is also compatible with the objects returned by kfold.

The subsets can be constructed in multiple different ways:
• If both folds and group are NULL, the subsets are randomly chosen so that they have equal
(or as close to equal as possible) size.
• If folds is NULL but group is specified, the data is split up into subsets, each time omitting all
observations of one of the factor levels, while ignoring argument K.
• If folds = "stratified" the subsets are stratified after group using loo::kfold_split_stratified.
• If folds = "balanced" the subsets are balanced by group using loo::kfold_split_balanced.
• If folds = "loo" exact leave-one-out cross-validation will be performed and K will be ignored.
Further, if group is specified, all observations corresponding to the factor level of the
currently predicted single #### Value are omitted. Thus, in this case, the predicted values are only
a subset of the omitted ones.
• If folds is a numeric vector, it must contain one element per observation in the data. Each
element of the vector is an integer in 1:K indicating to which of the K folds the corresponding
observation belongs. There are some convenience functions available in the loo package that
create integer vectors to use for this purpose (see the Examples section below and also the
                                                kfold-helpers page).

#### Value
kfold returns an object that has a similar structure as the objects returned by the loo and waic
methods.

#### See Also
loo, reloo