scholarly journals On discrete priors and sparse minimax optimal predictive densities

2021 ◽  
Vol 15 (1) ◽  
Author(s):  
Ujan Gangopadhyay ◽  
Gourab Mukherjee
Keyword(s):  
Predictive Densities

Bayesian Model Assessment and Comparison Using Cross-Validation Predictive Densities

2002 ◽  
Vol 14 (10) ◽  
pp. 2439-2468 ◽  
Author(s):  
Aki Vehtari ◽  
Jouko Lampinen
Keyword(s):  
Expected Utility ◽  
Cross Validation ◽  
Monte Carlo Sampling ◽  
Point Estimate ◽  
Model Assessment ◽  
Predictive Densities ◽  
Fold Cross Validation ◽  
Selection Of ◽  
Natural Way ◽  
Real World Problems

In this work, we discuss practical methods for the assessment, comparison, and selection of complex hierarchical Bayesian models. A natural way to assess the goodness of the model is to estimate its future predictive capability by estimating expected utilities. Instead of just making a point estimate, it is important to obtain the distribution of the expected utility estimate because it describes the uncertainty in the estimate. The distributions of the expected utility estimates can also be used to compare models, for example, by computing the probability of one model having a better expected utility than some other model. We propose an approach using cross-validation predictive densities to obtain expected utility estimates and Bayesian bootstrap to obtain samples from their distributions. We also discuss the probabilistic assumptions made and properties of two practical cross-validation methods, importance sampling and k-fold cross-validation. As illustrative examples, we use multilayer perceptron neural networks and gaussian processes with Markov chain Monte Carlo sampling in one toy problem and two challenging real-world problems.

Model order selection of damped sinusoids in noise by predictive densities

1996 ◽  
Vol 44 (3) ◽  
pp. 611-619 ◽  
Author(s):  
W.B. Bishop ◽  
P.M. Djuric
Keyword(s):  
Order Selection ◽  
Model Order Selection ◽  
Model Order ◽  
Predictive Densities ◽  
Selection Of

Predictive densities from the Rayleigh Life Model under Type II censored samples

2009 ◽  
Vol 12 (2) ◽  
pp. 305-317
Author(s):  
Hafiz M. R. Khan ◽  
Serge B. Provost ◽  
Amparo Amparo
Keyword(s):  
Type Ii ◽  
Censored Samples ◽  
Life Model ◽  
Predictive Densities

Pitman closeness properties of point estimators and predictive densities with parametric constraints

2016 ◽  
Vol 116 ◽  
pp. 101-106 ◽  
Author(s):  
Takeru Matsuda ◽  
William E. Strawderman
Keyword(s):  
Pitman Closeness ◽  
Point Estimators ◽  
Predictive Densities

scholarly journals Proper Bayes and minimax predictive densities related to estimation of a normal mean matrix

2017 ◽  
Vol 159 ◽  
pp. 138-150 ◽  
Author(s):  
Hisayuki Tsukuma ◽  
Tatsuya Kubokawa
Keyword(s):  
Normal Mean ◽  
Predictive Densities

Computation of predictive densities in the semi-parametric bayesian cox-dirichlet model

1999 ◽  
Vol 10 (4) ◽  
pp. 307-341 ◽  
Author(s):  
Nathalie Gouget ◽  
Jean-Pierre Raoult
Keyword(s):  
Dirichlet Model ◽  
Predictive Densities

Optimal predictive densities and fractional moments

2009 ◽  
Vol 25 (1) ◽  
pp. 57-71 ◽  
Author(s):  
Emanuele Taufer ◽  
Sudip Bose ◽  
Aldo Tagliani
Keyword(s):  
Fractional Moments ◽  
Predictive Densities

scholarly journals Time-varying combinations of predictive densities using nonlinear filtering

2013 ◽  
Vol 177 (2) ◽  
pp. 213-232 ◽  
Author(s):  
Monica Billio ◽  
Roberto Casarin ◽  
Francesco Ravazzolo ◽  
Herman K. van Dijk
Keyword(s):  
Nonlinear Filtering ◽  
Time Varying ◽  
Predictive Densities

scholarly journals Combining Predictive Densities Using Bayesian Filtering with Applications to US Economic Data

2012 ◽  
Author(s):  
Monica Billio ◽  
Francesco Ravazzolo ◽  
H. K. van Dijk ◽  
Massimiliano Caporin
Keyword(s):  
Bayesian Filtering ◽  
Economic Data ◽  
Predictive Densities
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