Strategies for validating Gaussian Process models

[jessegrabowski]

@OriolAbril

Take a look at this paper to see if LFO is what you are searching for, from the post it does look like a good fit. It is not as efficient as PSIS-LOO (which generally requires no refits) but it could give you leave future out cross-validation results with only a handful of refits (not sure how many though).

I actually came across this paper today while doing some research about time-series model comparison, was LFO-CV ever implemented in ArviZ? I found this discussion that seems to indicate it was, and you need to use the refitting wrappers to run it? Is there an example notebook or tutorial anywhere showing the functionality off?