Add GMPD #476
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Add GMPD #476
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This adds a new performance statistic, the geometric mean predictive density (GMPD), which is particularly useful for discrete outcomes because there, the GMPD is a geometric mean of probabilities and hence bounded by zero and one. As explained in the documentation for argument$SE_{GMPD} = SE_{MLPD} \cdot GMPD$ ; sorry for the bad math formatting: GitHub does not seem to support
statsin the?summary.vselhelp, the SE of the GMPD is derived using the delta method (\text{}or\mathrm{}). The confidence interval (CI) for the GMPD is calculated by exponentiating the CI bounds of the MLPD CI. This is also what is done in a similar case in Stata, for example (see here).