Comparing and weighting imperfect models using D-probabilities.
We propose a new approach for assigning weights to models using a divergence-based method (D-probabilities), relying on evaluating parametric models relative to a nonparametric Bayesian reference using Kullback-Leibler divergence. D-probabilities are useful in goodness-of-fit assessments, in comparing imperfect models, and in providing model weights to be used in model aggregation. D-probabilities avoid some of the disadvantages of Bayesian model probabilities, such as large sensitivity to prior choice, and tend to place higher weight on a greater diversity of models. In an application to linear model selection against a Gaussian process reference, we provide simple analytic forms for routine implementation and show that D-probabilities automatically penalize model complexity. Some asymptotic properties are described, and we provide interesting probabilistic interpretations of the proposed model weights. The framework is illustrated through simulation examples and an ozone data application.
Duke Scholars
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- Statistics & Probability
- 4905 Statistics
- 3802 Econometrics
- 1603 Demography
- 1403 Econometrics
- 0104 Statistics
Citation
Published In
DOI
EISSN
ISSN
Publication Date
Volume
Issue
Start / End Page
Related Subject Headings
- Statistics & Probability
- 4905 Statistics
- 3802 Econometrics
- 1603 Demography
- 1403 Econometrics
- 0104 Statistics