add Turing Example to docs

docs/make.jl

@@ -13,6 +13,7 @@ makedocs(;
     ),
     pages=[
         "Home" => "index.md",
+        "Using with Turing" => "turing.md",
     ],
     strict=true,
     checkdocs=:exports,

docs/src/turing.md

@@ -0,0 +1,119 @@
+# Turing Example 
+
+This example demonstrates how to correctly compute PSIS LOO for a model developed with [Turing.jl](https://turinglang.org/stable/). Below, we show two ways to correctly specify the model in Turing. What is most important is to specify the model so that pointwise log densities are computed for each observation. 
+
+To make things simple, we will use a Gaussian model in each example. Suppose observations ``Y = \{y_1,y_2,\dots y_n\}`` come from a Gaussian distribution with an uknown parameter ``\mu`` and known parameter ``\sigma=1``. The model can be stated as follows:
+
+``\mu \sim \mathrm{normal}(0, 1)``
+
+``Y \sim \mathrm{Normal}(\mu, 1)``
+
+## For Loop Method
+
+One way to specify a model to correctly compute PSIS LOO is to iterate over the observations using a for loop, as follows:
+```julia
+using Turing
+using ParetoSmooth
+using Distributions
+using Random
+
+Random.seed!(5)
+
+@model function model(data)
+    μ ~ Normal()
+    for i in 1:length(data)
+        data[i] ~ Normal(μ, 1)
+    end
+end
+
+data = rand(Normal(0, 1), 100)
+
+chain = sample(model(data), NUTS(), 1000)
+psis_loo(model(data), chain)
+```
+The output below correctly indicates PSIS LOO was computed with 100 data points. 
+
+```julia
+[ Info: No source provided for samples; variables are assumed to be from a Markov Chain. If the samples are independent, specify this with keyword argument `source=:other`.
+Results of PSIS-LOO-CV with 1000 Monte Carlo samples and 100 data points. Total Monte Carlo SE of 0.064.
+┌───────────┬─────────┬──────────┬───────┬─────────┐
+│           │   total │ se_total │  mean │ se_mean │
+├───────────┼─────────┼──────────┼───────┼─────────┤
+│   cv_elpd │ -158.82 │     9.24 │ -1.59 │    0.09 │
+│ naive_lpd │ -157.43 │     9.05 │ -1.57 │    0.09 │
+│     p_eff │    1.39 │     0.19 │  0.01 │    0.00 │
+└───────────┴─────────┴──────────┴───────┴─────────┘
+```
+## Dot Vectorization Method
+
+The other method uses dot vectorization in the sampling statement: `.~`. Adapting the model above accordingly, we have:
+
+```julia
+using Turing
+using ParetoSmooth
+using Distributions
+using Random
+
+Random.seed!(5)
+
+@model function model(data)
+    μ ~ Normal()
+    data .~ Normal(μ, 1)
+end
+
+data = rand(Normal(0, 1), 100)
+
+chain = sample(model(data), NUTS(), 1000)
+psis_loo(model(data), chain)
+```
+As before, the output correctly indicates PSIS LOO was computed with 100 observations. 
+```julia
+[ Info: No source provided for samples; variables are assumed to be from a Markov Chain. If the samples are independent, specify this with keyword argument `source=:other`.
+Results of PSIS-LOO-CV with 1000 Monte Carlo samples and 100 data points. Total Monte Carlo SE of 0.053.
+┌───────────┬─────────┬──────────┬───────┬─────────┐
+│           │   total │ se_total │  mean │ se_mean │
+├───────────┼─────────┼──────────┼───────┼─────────┤
+│   cv_elpd │ -158.71 │     9.23 │ -1.59 │    0.09 │
+│ naive_lpd │ -157.44 │     9.06 │ -1.57 │    0.09 │
+│     p_eff │    1.27 │     0.18 │  0.01 │    0.00 │
+└───────────┴─────────┴──────────┴───────┴─────────┘
+```
+
+## Incorrect Model Specification
+
+Although the model below is valid, it will not produce the correct results for PSIS LOO because it computes a single log likelihood for the data rather than one for each observation. Note the lack of `.` in the sampling statement.
+
+```julia
+using Turing
+using ParetoSmooth
+using Distributions
+using Random
+
+Random.seed!(5)
+
+@model function model(data)
+    μ ~ Normal()
+    data ~ Normal(μ, 1)
+end
+
+data = rand(Normal(0, 1), 100)
+
+chain = sample(model(data), NUTS(), 1000)
+psis_loo(model(data), chain)
+```
+
+In this case, there is only 1 data point and the standard errors cannot be computed:
+
+```julia 
+[ Info: No source provided for samples; variables are assumed to be from a Markov Chain. If the samples are independent, specify this with keyword argument `source=:other`.
+┌ Warning: Some Pareto k values are high (>.7), indicating PSIS has failed to approximate the true distribution.
+└ @ ParetoSmooth ~/.julia/packages/ParetoSmooth/AJM3j/src/InternalHelpers.jl:46
+Results of PSIS-LOO-CV with 1000 Monte Carlo samples and 1 data points. Total Monte Carlo SE of 0.15.
+┌───────────┬─────────┬──────────┬─────────┬─────────┐
+│           │   total │ se_total │    mean │ se_mean │
+├───────────┼─────────┼──────────┼─────────┼─────────┤
+│   cv_elpd │ -158.57 │      NaN │ -158.57 │     NaN │
+│ naive_lpd │ -157.91 │      NaN │ -157.91 │     NaN │
+│     p_eff │    0.66 │      NaN │    0.66 │     NaN │
+└───────────┴─────────┴──────────┴─────────┴─────────┘
+```