Bayesian Model Averaging in the M-Open Framework
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This chapter presents a model averaging approach in the M-open setting using sample re-use methods to approximate the predictive distribution of future observations. It first reviews the standard M-closed Bayesian Model Averaging approach and decision-theoretic methods for producing inferences and decisions. It then reviews model selection from the M-complete and M-open perspectives, before formulating a Bayesian solution to model averaging in the M-open perspective. It constructs optimal weights for MOMA:M-open Model Averaging using a decision-theoretic framework, where models are treated as part of the ‘action space’ rather than unknown states of nature. Using ‘incompatible’ retrospective and prospective models for data from a case-control study, the chapter demonstrates that MOMA gives better predictive accuracy than the proxy models. It concludes with open questions and future directions.
Published Version (Please cite this version)10.1093/acprof:oso/9780199695607.003.0024
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Professor of Statistical Science
Model uncertainty and choice in prediction and variable selection problems for linear, generalized linear models and multivariate models. Bayesian Model Averaging. Prior distributions for model selection and model averaging. Wavelets and adaptive kernel non-parametric function estimation. Spatial statistics. Experimental design for nonlinear models. Applications in proteomics, bioinformatics, astro-statistics, air pollution and health effects, and environmental sciences.
Research Professor of Statistical Science
Bayesian statistical modeling with application to problems in genetic epidemiology and cancer research; models for epidemiological risk assessment, including hierarchical methods for combining related epidemiological studies; ascertainment corrections for high risk family data; analysis of high-throughput genomic data sets.
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