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Apologies for opening two issues in a row. I think there may be a small inconsistency in the documentation for the k_threshold used by loo_moment_match() between the function documentation and moment matching vignette.
Function documentation:
Lines 28 to 30 in 6e7001e
| #' @param k_threshold Threshold value for Pareto k values above which the moment | |
| #' matching algorithm is used. The default value is `1 - 1 / log10(S)`, | |
| #' where `S` is the sample size. |
Vignette:
loo/vignettes/loo2-moment-matching.Rmd
Lines 169 to 171 in 6e7001e
| determines the Pareto $k$ threshold, above which moment matching is used. By | |
| default, it operates on all observations whose Pareto $k$ value is larger than | |
| the sample size ($S$) specific threshold $\min(1 - 1 / \log_{10}(S), 0.7)$ (which is $0.7$ for $S>2200$). |
Should the function documentation be updated to say that the default value is min(1 - 1 / log10(S), 0.7)?