Bayesian Model Averaging Using Power-Expected-Posterior Priors
This paper focuses on the Bayesian model average (BMA) using the power–expected– posterior prior in objective Bayesian variable selection under normal linear models. We derive a BMA point estimate of a predicted value, and present computation and evaluation strategies of the prediction accuracy. We...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-05-01
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| Series: | Econometrics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2225-1146/8/2/17 |
| _version_ | 1797568268108562432 |
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| author | Dimitris Fouskakis Ioannis Ntzoufras |
| author_facet | Dimitris Fouskakis Ioannis Ntzoufras |
| author_sort | Dimitris Fouskakis |
| collection | DOAJ |
| description | This paper focuses on the Bayesian model average (BMA) using the power–expected– posterior prior in objective Bayesian variable selection under normal linear models. We derive a BMA point estimate of a predicted value, and present computation and evaluation strategies of the prediction accuracy. We compare the performance of our method with that of similar approaches in a simulated and a real data example from economics. |
| first_indexed | 2024-03-10T19:54:59Z |
| format | Article |
| id | doaj.art-f156ac41e8d74a539320f15f561babe5 |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-03-10T19:54:59Z |
| publishDate | 2020-05-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-f156ac41e8d74a539320f15f561babe52023-11-20T00:06:53ZengMDPI AGEconometrics2225-11462020-05-01821710.3390/econometrics8020017Bayesian Model Averaging Using Power-Expected-Posterior PriorsDimitris Fouskakis0Ioannis Ntzoufras1Statistics Lab, Department of Mathematics, National Technical University of Athens, Zografou Campus, 15780 Athens, GreeceComputational and Bayesian Statistics Lab, Department of Statistics, Athens University of Economics and Business, 10434 Athens, GreeceThis paper focuses on the Bayesian model average (BMA) using the power–expected– posterior prior in objective Bayesian variable selection under normal linear models. We derive a BMA point estimate of a predicted value, and present computation and evaluation strategies of the prediction accuracy. We compare the performance of our method with that of similar approaches in a simulated and a real data example from economics.https://www.mdpi.com/2225-1146/8/2/17Bayesian model averagingBayesian variable selectionexpected–posterior priorsimaginary training samplespower–expected–posterior priors |
| spellingShingle | Dimitris Fouskakis Ioannis Ntzoufras Bayesian Model Averaging Using Power-Expected-Posterior Priors Econometrics Bayesian model averaging Bayesian variable selection expected–posterior priors imaginary training samples power–expected–posterior priors |
| title | Bayesian Model Averaging Using Power-Expected-Posterior Priors |
| title_full | Bayesian Model Averaging Using Power-Expected-Posterior Priors |
| title_fullStr | Bayesian Model Averaging Using Power-Expected-Posterior Priors |
| title_full_unstemmed | Bayesian Model Averaging Using Power-Expected-Posterior Priors |
| title_short | Bayesian Model Averaging Using Power-Expected-Posterior Priors |
| title_sort | bayesian model averaging using power expected posterior priors |
| topic | Bayesian model averaging Bayesian variable selection expected–posterior priors imaginary training samples power–expected–posterior priors |
| url | https://www.mdpi.com/2225-1146/8/2/17 |
| work_keys_str_mv | AT dimitrisfouskakis bayesianmodelaveragingusingpowerexpectedposteriorpriors AT ioannisntzoufras bayesianmodelaveragingusingpowerexpectedposteriorpriors |