Bayesian methodsBayesian / computational

Dynamic Bayesian Model Averaging

Dynamic Bayesian Model Averaging (DMA) extends standard Bayesian model averaging to settings where the best predictive model may change over time. It maintains a probability distribution over a set of competing models and updates that distribution sequentially as new observations arrive, allowing model weights to evolve rather than remaining fixed across the entire sample.

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Sources

  1. Raftery, A. E., Karny, M., & Ettler, P. (2010). Online prediction under model uncertainty via dynamic model averaging: Application to a cold rolling mill. Technometrics, 52(1), 52-66. DOI: 10.1198/TECH.2009.08104
  2. Hoeting, J. A., Madigan, D., Raftery, A. E., & Volinsky, C. T. (1999). Bayesian model averaging: A tutorial. Statistical Science, 14(4), 382-401. DOI: 10.1214/ss/1009212519

Related methods

ScholarGateDynamic Bayesian Model Averaging (Dynamic Bayesian Model Averaging). Retrieved 2026-06-04 from https://scholargate.app/en/bayesian/dynamic-bayesian-model-averaging