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| MCMC für Modellvergleich× | Bayesian Model Averaging× | |
|---|---|---|
| Fachgebiet | Bayes-Statistik | Bayes-Statistik |
| Familie | Bayesian methods | Bayesian methods |
| Entstehungsjahr≠ | 1995 | 1999 |
| Urheber≠ | Peter J. Green (reversible-jump MCMC); Meng & Wong (bridge sampling) | Hoeting, Madigan, Raftery & Volinsky |
| Typ≠ | Bayesian computational method | Bayesian model averaging |
| Wegweisende Quelle≠ | Green, P. J. (1995). Reversible jump Markov chain Monte Carlo computation and Bayesian model determination. Biometrika, 82(4), 711–732. DOI ↗ | Hoeting, J. A., Madigan, D., Raftery, A. E. & Volinsky, C. T. (1999). Bayesian Model Averaging: A Tutorial. Statistical Science, 14(4), 382–401. link ↗ |
| Aliasnamen≠ | reversible-jump MCMC, RJMCMC, marginal likelihood estimation via MCMC, Bayesian model selection via MCMC | BMA, Bayesian model combination, Bayesian Model Ortalaması (BMA) |
| Verwandt | 5 | 5 |
| Zusammenfassung≠ | MCMC for model comparison uses Markov chain Monte Carlo algorithms to estimate the marginal likelihoods and Bayes factors needed to formally compare competing statistical models. Techniques such as reversible-jump MCMC and bridge sampling allow exploration across model spaces of different dimensionality, enabling fully Bayesian model selection and averaging. | Bayesian Model Averaging (BMA), formalised as a tutorial by Hoeting, Madigan, Raftery and Volinsky in 1999, addresses model uncertainty by averaging over all plausible model specifications rather than selecting a single best model. Each candidate model receives a posterior probability that reflects how well it fits the data given a prior, and predictions or coefficient estimates are formed as weighted averages across the entire model space. This approach reduces the bias and overconfidence that arise when a single selected model is treated as the true one. |
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