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  • 标题:Bayesian Model Averaging Using Power-Expected-Posterior Priors
  • 本地全文:下载
  • 作者:Dimitris Fouskakis ; Ioannis Ntzoufras
  • 期刊名称:Econometrics
  • 印刷版ISSN:2225-1146
  • 出版年度:2020
  • 卷号:8
  • 期号:17
  • 页码:17
  • DOI:10.3390/econometrics8020017
  • 语种:English
  • 出版社:MDPI, Open Access Journal
  • 摘要: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.
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