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

DOI10.2307/3315929MaRDI QIDQ4664952zbMATH OpenOpenAlexFDO

Authors Hubert Wong, Bertrand S. Clarke

Publication date 9 April 2005

Published in The 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

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

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Cites work

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

Cited in

(8)

• Dynamic latent class model averaging for online prediction
• Prequential analysis of complex data with adaptive model reselection
• Using stacking to average Bayesian predictive distributions (with discussion)
• 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
• Prediction in several conventional contexts
• Likelihood tempering in dynamic model averaging
• Bayesian restricted likelihood methods: conditioning on insufficient statistics in Bayesian regression (with discussion)

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