The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.
Optimal predictive model selection
Open accessAbstract
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.
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Cites
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Variable Selection via Gibbs Sampling
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Prediction via Orthogonalized Model Mixing
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Cited by
The interplay of Bayesian and frequentist analysis
Bayarri, M. J., & Berger, J. O. (2004) · Statistical Science · doi:10.1214/088342304000000116 · Cited by 525
Self-citationAn exploration of aspects of Bayesian multiple testing
Scott, J. G., & Berger, J. O. (2006) · Journal of Statistical Planning and Inference · doi:10.1016/j.jspi.2005.08.031 · Cited by 330
Self-citationModel Averaging and Its Use in Economics
Steel, M. F. J. (2020) · Journal of Economic Literature · doi:10.1257/jel.20191385 · Cited by 321
Bayesian Adaptive Sampling for Variable Selection and Model Averaging
Clyde, M. A., Ghosh, J., & Littman, M. L. (2011) · Journal of Computational and Graphical Statistics · doi:10.1198/jcgs.2010.09049 · Cited by 247
Zhang, M., Rifas-Shiman, S. L., Aris, I. M., Fleisch, A. F., Lin, P.-I. D., Nichols, A. R., Oken, E., & Hivert, M.-F. (2023) · Environmental Health Perspectives · doi:10.1289/ehp12597 · Cited by 45
Metadata
- Authors
- Barbieri, M. M., & Berger, J. O.
- Venue
- The Annals of Statistics
- Publisher
- Institute of Mathematical Statistics
- Published
- 2004-06-01
- Volume
- 32
- Issue
- 3
- Pages
- 870-897
- ISSN
- 0090-5364 (ISSN-L)
- OpenAlex
- W2073610283
- Cited by
- 812
- References
- 5
- FWCI
- 5.90
- Type
- journal article
- Language
- en
- Open access
- bronze
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