loo_varsel(): Different weights of clustered draws?

[fweber144]

If I understand these lines:

projpred/R/cv_varsel.R

Lines 386 to 406 in 9c7fd06

	mu_k <- family$mu_fun(submodels[[k]]$sub_fit,
	obs = inds,
	offset = refmodel$offset,
	weights = 1)
	log_lik_sub <- t(family$ll_fun(
	mu_k, submodels[[k]]$dis,
	y[inds], refmodel$wobs[inds]
	))
	sub_psisloo <- suppressWarnings(
	loo::psis(-log_lik_sub,
	cores = 1,
	r_eff = rep(1, ncol(log_lik_sub)))
	)
	lw_sub <- suppressWarnings(loo::weights.importance_sampling(sub_psisloo))
	loo_sub[inds, k] <- apply(
	log_lik_sub[,] + lw_sub[,], 2,
	log_sum_exp
	)
	for (i in seq_along(inds)) {
	mu_sub[inds[i], k] <- mu_k[i, ] %*% exp(lw_sub[, i])
	}

correctly, then loo_varsel() does not take into account here that clustered draws may have different weights when averaging across them. Is my understanding correct and, if yes, is this done on purpose?

[fweber144]

Fixed in develop, so a corresponding label may be added here.