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Author: Giuseppe De Luca
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ISBN:
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Languages : en
Pages : 29
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Author: Giuseppe De Luca
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
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Author: J.R Magnus
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Languages : en
Pages : 0
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Model averaging has become a popular method of estimation, following increasing evidence that model selection and estimation should be treated as one joint procedure. Weighted-average least squares (WALS) is a recent model-average approach, which takes an intermediate position between frequentist and Bayesian methods, allows a credible treatment of ignorance, and is extremely fast to compute. We review the theory of WALS and discuss extensions and applications.
Author: Giuseppe De Luca
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ISBN:
Category :
Languages : en
Pages : 36
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The weighted-average least squares (WALS) approach, introduced by Magnus et al. (2010) in the context of Gaussian linear models, has been shown to enjoy important advantages over other strictly Bayesian and strictly frequentist model averaging estimators when accounting for problems of uncertainty in the choice of the regressors. In this paper we extend the WALS approach to deal with uncertainty about the specification of the linear predictor in the wider class of generalized linear models (GLMs). We study the large-sample properties of the WALS estimator for GLMs under a local misspecification framework that allows the development of asymptotic model averaging theory. We also investigate the finite sample properties of this estimator by a Monte Carlo experiment whose design is based on the real empirical analysis of attrition in the first two waves of the Survey of Health, Ageing and Retirement in Europe (SHARE).
Author: J.R Magnus
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Languages : en
Pages : 0
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In specifying a regression equation, we need to determine which regressors to include, but also how these regressors are measured. This gives rise to two levels of uncertainty: concepts (level 1) and measurements within each concept (level 2). In this paper we propose a hierarchical weighted least squares (HWALS) method to address these uncertainties. We examine the effects of different growth theories taking into account the measurement problem in the growth regression. We find that estimates produced by HWALS provide intuitive and robust explanations. We also consider approximation techniques when the number of variables is large or when computing time is limited, and we propose possible strategies for sensitivity analysis.
Author: Jan Rudolf Magnus
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Languages : en
Pages :
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Author: Dong Dai
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Category : Bayesian statistical decision theory
Languages : en
Pages : 116
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Given a finite family of functions, the goal of model averaging is to construct a procedure that mimics the function from this family that is the closest to an unknown regression function. More precisely, we consider a general regression model with fi xed design and measure the distance between functions by mean squared error (MSE) at the design points. In this thesis, we propose a new method Bayesian model averaging with exponentiated least square loss (BMAX) to solve the model averaging problem optimally in a minimax sense.
Author: Giuseppe De Luca
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Languages : en
Pages :
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We investigate the asymptotic behavior of the WALS estimator, a model-averaging estimator with attractive finite-sample and computational properties. WALS is closely related to the normal location model, and hence much of the paper concerns the asymptotic behavior of the estimator of the unknown mean in the normal local model. Since we adopt a frequentist-Bayesian approach, this specializes to the asymptotic behavior of the posterior mean as a frequentist estimator of the normal location parameter. We emphasize two challenging issues. First, our definition of ignorance in the Bayesian step involves a prior on the t-ratio rather than on the parameter itself. Second, instead of assuming a local misspecification framework, we consider a standard asymptotic setup with fixed parameters. We show that, under suitable conditions on the prior, the WALS estimator is √n-consistent and its asymptotic distribution essentially coincides with that of the unrestricted least-squares estimator. Monte Carlo simulations confirm our theoretical results.
Author: James P. LeSage
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Languages : en
Pages : 0
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We extend the literature on Bayesian model comparison for ordinary least-squares regression models to include spatial autoregressive and spatial error models. Our focus is on comparing models that consist of different matrices of explanatory variables. A Markov Chain Monte Carlo model composition methodology labelled MC to the third by Madigan and York (1995) is developed for two types of spatial econometric models that are frequently used in the literature. The methodology deals with cases where the number of possible models based on different combinations of candidate explanatory variables is large enough that calculation of posterior probabilities for all models is difficult or infeasible. Estimates and inferences are produced by averaging over models using the posterior model probabilities as weights, a procedure known as Bayesian model averaging. We illustrate the methods using a spatial econometric model of origin-destination population migration flows between the 48 US States and District of Columbia during the 1990 to 2000 period.
Author: Jiayin Zheng
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ISBN:
Category : Bayesian statistical decision theory
Languages : en
Pages : 150
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There is a rich history of work on model selection and averaging in the statistics literature. The Bayesian paradigm provides an approach to model selection which successfully overcomes the drawbacks for which frequentist hypothesis testing has been criticized. Most commonly, Bayesian model selection methods are based on the Bayes factor. Additionally, the Bayes factor has applications outside the realm of model selection, such as model averaging. In a formal sense, as a supplement to the prior odds, the Bayes factor produces the posterior odds for a pair of models. These posterior odds can be translated to posterior probabilities and yields a full posterior distribution that assigns a probability to each model as well as a distribution over the parameters for each model. Then the Bayesian model averaging provides better prediction by making inferences based on a weighted average over all of the models considered.
Author: Tian Xie
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Category :
Languages : en
Pages : 40
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