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
- OpenAlex
- https://openalex.org/W2073610283
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:263787522
Keywords
Posterior probability, Bayesian probability, Selection (genetic algorithm), Model selection, Measure (data warehouse)
References
- Fractional Bayes factors for model comparison
- Asymptotic mean efficiency of a selection of regression variables
- Prediction via Orthogonalized Model Mixing
- Flexible empirical Bayes estimation for wavelets
- Approximations and consistency of Bayes factors as model dimension grows
- Multiple shrinkage and subset selection in wavelets
- Calibration and empirical Bayes variable selection
- The Intrinsic Bayes Factor for Model Selection and Prediction
- Applied Regression Analysis
- Theory of Probability
- Design and Analysis of Experiments
- Bayesian Theory
- Objective Bayesian Methods for Model Selection: Introduction and Comparison
- Orthogonalizations and Prior Distributions for Orthogonalized Model Mixing
- Simulation-Based Optimal Design
- The Practical Implementation of Bayesian Model Selection
- Empirical Bayes Estimation in Wavelet Nonparametric Regression
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- Bayes Regularized Graphical Model Estimation in High Dimensions
- Essays on forecasting and Bayesian model averaging
- Bayesian Variable Selection in High-dimensional Applications
- The International Transmission of U.S. Structural Shocks – Evidence from Global Vector Autoregressions
- Biostatistical modeling and analysis of combined fMRI and EEG measurements
- Exchange rate forecasting with Bayesian Model Averaging
- Bridging the information gap: small-scale nowcasting models of GDP growth for selected CESEE countries
- Using historical data for Bayesian sample size determination
- Parallel hierarchical sampling : a general-purpose class of multiple-chains MCMC algorithms
- Variable Selection in Bayesian Smoothing Spline ANOVA Models
- Factors affecting breeding success of the Flea Bay white-flippered penguin (Eudyptula minor albosignata) colony
- A Bayesian Integrative Genomic Model for Pathway Analysis of Complex Traits
- Spatial filtering, model uncertainty and the speed of income convergence in Europe
- Multiple SNP-sets Analysis for Genome-wide Association Studies through Bayesian Latent Variable Selection
- Variable selection in the analysis of energy consumption–growth nexus
- Normal-Mixture-of-Inverse-Gamma Priors for Bayesian Regularization and Model Selection in Structured Additive Regression Models
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