Optimal Predictive Model Selection

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Summary

It is shown 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.

Type
article
Published
2002-01-01
Cited by
527
References
19
Access
Open access

Keywords

Posterior probability, Bayesian probability, Selection (genetic algorithm), Model selection, Measure (data warehouse)

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