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Optimal predictive model selection

Publication ,  Journal Article
Barbieri, MM; Berger, JO
Published in: Annals of Statistics
June 1, 2004

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. © Institute of Mathematical Statistics, 2004.

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Published In

Annals of Statistics

DOI

ISSN

0090-5364

Publication Date

June 1, 2004

Volume

32

Issue

3

Start / End Page

870 / 897

Related Subject Headings

  • Statistics & Probability
  • 1403 Econometrics
  • 0104 Statistics
  • 0102 Applied Mathematics
 

Citation

APA
Chicago
ICMJE
MLA
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Barbieri, M. M., & Berger, J. O. (2004). Optimal predictive model selection. Annals of Statistics, 32(3), 870–897. https://doi.org/10.1214/009053604000000238
Barbieri, M. M., and J. O. Berger. “Optimal predictive model selection.” Annals of Statistics 32, no. 3 (June 1, 2004): 870–97. https://doi.org/10.1214/009053604000000238.
Barbieri MM, Berger JO. Optimal predictive model selection. Annals of Statistics. 2004 Jun 1;32(3):870–97.
Barbieri, M. M., and J. O. Berger. “Optimal predictive model selection.” Annals of Statistics, vol. 32, no. 3, June 2004, pp. 870–97. Scopus, doi:10.1214/009053604000000238.
Barbieri MM, Berger JO. Optimal predictive model selection. Annals of Statistics. 2004 Jun 1;32(3):870–897.

Published In

Annals of Statistics

DOI

ISSN

0090-5364

Publication Date

June 1, 2004

Volume

32

Issue

3

Start / End Page

870 / 897

Related Subject Headings

  • Statistics & Probability
  • 1403 Econometrics
  • 0104 Statistics
  • 0102 Applied Mathematics