Model Averaging by Stacking
نویسندگان
چکیده
منابع مشابه
Comparing Bayes Model Averaging and Stacking When Model Approximation Error Cannot be Ignored
We compare Bayes Model Averaging, BMA, to a non-Bayes form of model averaging called stacking. In stacking, the weights are no longer posterior probabilities of models; they are obtained by a technique based on cross-validation. When the correct data generating model (DGM) is on the list of models under consideration BMA is never worse than stacking and often is demonstrably better, provided th...
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ژورنال
عنوان ژورنال: Open Journal of Statistics
سال: 2015
ISSN: 2161-718X,2161-7198
DOI: 10.4236/ojs.2015.57079