simplify mcse_elpd using log-normal approximation#246
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## master #246 +/- ##
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- Coverage 92.45% 92.44% -0.02%
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jgabry
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Feb 15, 2024
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Looks good. I'll include this in the release.
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Years ago I made mcse_elpd using a simple quadrature, but now switched to use a more efficient log-normal approximation. Given the mean and variance in linear scale, and knowing that the logarithm is closer to normal, we approximate the uncertainty in linear scale with log-normal and compute the corresponding normal distribution parameters in log scale using the equations shown, e.g., at https://en.wikipedia.org/wiki/Log-normal_distribution#Arithmetic_moments
The change makes relative change of 0.01%-0.1% compared to stored reference values and thus some reference rds files were updated.