Limitations of “Limitations of Bayesian Leave-one-out Cross-Validation for Model Selection”

Abstract

In an earlier article in this journal, Gronau and Wagenmakers (2018) discuss some problems with leave-one-out cross-validation (LOO) for Bayesian model selection. However, the variant of LOO that Gronau and Wagenmakers discuss is at odds with a long literature on how to use LOO well. In this discussion, we discuss the use of LOO in practical data analysis, from the perspective that we need to abandon the idea that there is a device that will produce a single-number decision rule.