Improvement over bayes prediction in small samples in the presence of model uncertainty

DOI10.2307/3315929zbMath1061.62041OpenAlexW2096025889MaRDI QIDQ4664952

Hubert Wong, Bertrand S. Clarke

Publication date: 9 April 2005

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5b7157f215b6e51187be3410e0ca5b33973d7d2c

zbMATH Keywords

forecastingmodel averagingmongrel risk

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Foundations and philosophical topics in statistics (62A01)

Related Items (6)

Using stacking to average Bayesian predictive distributions (with discussion) ⋮ Bayesian restricted likelihood methods: conditioning on insufficient statistics in Bayesian regression (with discussion) ⋮ Prediction in several conventional contexts ⋮ Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma ⋮ A characterization of consistency of model weights given partial information in normal linear models ⋮ Prequential analysis of complex data with adaptive model reselection

Cites Work

• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
• Bayesian Model Averaging for Linear Regression Models
• On Testing the Validity of Sequential Probability Forecasts
• The Relationship between Variable Selection and Data Agumentation and a Method for Prediction
• 10.1162/153244304773936090
• On efficient probability forecasting systems

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