Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models

نویسندگان

  • John Knight
  • Stephen Satchell
  • Jessica Qi Zhang
چکیده

We examine a popular practitioner methodology used in the construction of linear factor models whereby particular factors are increased or decreased in relative importance within the model. This allows model builders to customise models and, as such, reflect those factors that the client and modeller may think important. We call this process Pragmatic Bayesianism (or prag-Bayes for short) and we provide analysis which shows when such a procedure is likely to be successful.

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تاریخ انتشار 2013