Using stacking to average Bayesian predictive distributions (with discussion)

DOI10.1214/17-BA1091zbMath1407.62090arXiv1704.02030OpenAlexW2922826800WikidataQ63362815 ScholiaQ63362815MaRDI QIDQ1631589

Yuling Yao, Daniel P. Simpson, Andrew Gelman, Aki Vehtari

Publication date: 6 December 2018

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.02030

zbMATH Keywords

Bayesian model averagingstackingpredictive distributionmodel combinationproper scoring rulebootstrapped-Pseudo-BMA

Mathematics Subject Classification ID

Bayesian inference (62F15)

Related Items

On the quantification of model uncertainty: a Bayesian perspective, Approximate leave-future-out cross-validation for Bayesian time series models, Monotonicity of rank order probabilities in signal detection models of simultaneous detection and identification, Mortality forecasting using stacked regression ensembles, Using stacking to average Bayesian predictive distributions (with discussion), Extremizing and Antiextremizing in Bayesian Ensembles of Binary-Event Forecasts, Ensemble Economic Scenario Generators: Unity Makes Strength, Projective inference in high-dimensional problems: prediction and feature selection, A Richards growth model to predict fruit weight, On the aggregation of probability assessments: regularized mixtures of predictive densities for eurozone inflation and real interest rates, A flexible predictive density combination for large financial data sets in regular and crisis periods, Sequential Monte Carlo samplers to fit and compare insurance loss models, Bayesian inference for the weights in logarithmic pooling, Unbiased estimator for the variance of the leave-one-out cross-validation estimator for a Bayesian normal model with fixed variance, Bayesian model evaluation for multiple scenarios, Some models are useful, but how do we know which ones? Towards a unified Bayesian model taxonomy, Adaptive variable selection for sequential prediction in multivariate dynamic models, Bayesian hierarchical stacking: some models are (somewhere) useful, Additive stacking for disaggregate electricity demand forecasting, Bayesian neural networks for uncertainty quantification in data-driven materials modeling, Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions, Predicting competitions by combining conditional logistic regression and subjective Bayes: an Academy Awards case study, Bayesian comparison of latent variable models: conditional versus marginal likelihoods, A hierarchical Bayesian state trace analysis for assessing monotonicity while factoring out subject, item, and trial level dependencies, Assessing Bayes Factor Surfaces Using Interactive Visualization and Computer Surrogate Modeling

Uses Software

• R
• Stan
• ADVI

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC
• Understanding predictive information criteria for Bayesian models
• Bias-variance trade-off for prequential model list selection
• Optimal prediction pools
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Using stacking to average Bayesian predictive distributions (with discussion)
• A Bayes interpretation of stacking for \(\mathcal{M}\)-complete and \(\mathcal{M}\)-open settings
• Stacked regressions
• A survey of Bayesian predictive methods for model assessment, selection and comparison
• Comparison of Bayesian predictive methods for model selection
• Statistical Decision Problems and Bayesian Nonparametric Methods
• Mixtures of g Priors for Bayesian Variable Selection
• A Predictive Approach to Model Selection
• Combining Estiamates in Regression and Classification
• Model Selection and Multimodel Inference
• Improvement over bayes prediction in small samples in the presence of model uncertainty
• Bayesian Model Assessment and Comparison Using Cross-Validation Predictive Densities
• 10.1162/153244304773936090
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Parameterization and Bayesian Modeling