Bayesian Model Averaging: a Tutorial (with Comments by M. Clyde, David Draper and E. I. George, and a Rejoinder by the Authors)

Hoeting, Jennifer A.; Madigan, David B.; Raftery, Adrian E.; Volinsky, Chris T.; Clyde, M.; Draper, David; George, E. I.

Standard statistical practice ignores model uncertainty. Data analysts typically select a model from some class of models and then proceed as if the selected model had generated the data. This approach ignores the uncertainty in model selection, leading to over-confident inferences and decisions that are more risky than one thinks they are. Bayesian model averaging (BMA)provides a coherent mechanism for accounting for this model uncertainty. Several methods for implementing BMA have recently emerged. We discuss these methods and present a number of examples.In these examples, BMA provides improved out-of-sample predictive performance. We also provide a catalogue of currently available BMA software.



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May 13, 2014