Optimal predictive model selection.
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Publication:1879924
zbMATH Open1092.62033arXivmath/0406464MaRDI QIDQ1879924FDOQ1879924
Authors: Maria Maddalena Barbieri, James O. Berger 
Publication date: 15 September 2004
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: Often the goal of model selection is to choose a model for future prediction, and it is natural to measure the accuracy of a future prediction by squared error loss. Under the Bayesian approach, it is commonly perceived that the optimal predictive model is the model with highest posterior probability, but this is not necessarily the case. In this paper we show that, for selection among normal linear models, the optimal predictive model is often the median probability model, which is defined as the model consisting of those variables which have overall posterior probability greater than or equal to 1/2 of being in a model. The median probability model often differs from the highest probability model.
Full work available at URL: https://arxiv.org/abs/math/0406464
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