Model weights for model choice and averaging

DOI10.1016/J.STAMET.2006.05.002MaRDI QIDQ713757zbMATH OpenOpenAlexFDO

Authors Peter Congdon

Publication date 19 October 2012

Published in Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.stamet.2006.05.002

zbMATH Keywords

Bayesianmodel averagingmodel weightMonte Carlo estimation

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• A Bayesian model selection method with applications
• Approximate Bayes factors and accounting for model uncertainty in generalised linear models
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Bayesian Measures of Model Complexity and Fit
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Bayesian model choice based on Monte Carlo estimates of posterior model probabilities
• Bayesian model selection and model averaging
• Bayesian Statistics and Marketing
• Discharge Rates of Medicare Stroke Patients to Skilled Nursing Facilities: Bayesian Logistic Regression With Unobserved Heterogeneity
• Dynamic conditionally linear mixed models for longitudinal data
• Effect of Frailty on Marginal Regression Estimates in Survival Analysis
• Estimating Bayes Factors via Posterior Simulation With the Laplace-Metropolis Estimator
• Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
• scientific article; zbMATH DE number 597911 (Why is no real title available?)
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• Marginal Likelihood Estimation via Power Posteriors
• Marginal Likelihood from the Gibbs Output
• Methods and Criteria for Model Selection
• Model Selection and Multimodel Inference
• On Bayesian model and variable selection using MCMC
• Predictive Variable Selection in Generalized Linear Models

Cited in

(11)

• Threshold variable selection of asymmetric stochastic volatility models
• The Self-Weighting Model
• On double hysteretic heteroskedastic model
• Bayesian model comparison via parallel model output
• Selection of weights for weighted model averaging
• Falling and explosive, dormant, and rising markets via multi-regime financial time series models
• Model averaging and weight choice in linear mixed-effects models
• scientific article; zbMATH DE number 5056249 (Why is no real title available?)
• Identifying the most important set of weights when modelling bad outputs with the weak disposability approach
• Exact posterior distributions and model selection criteria for multiple change-point detection problems
• Bayesian model choice based on Monte Carlo estimates of posterior model probabilities

Describes a project that uses

Uses Software

• bayesm
• BayesDA

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