Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/105033
Title: Automatic Bayesian model averaging for linear regression and applications in Bayesian curve fitting
Authors: Liang, F. 
Truong, Y.K. 
Wong, W.H.
Keywords: Bayesian model averaging
Curve fitting
Evolutionary Monte Carlo
Mallows' Cp
Markov chain Monte Carlo
Issue Date: Oct-2001
Citation: Liang, F.,Truong, Y.K.,Wong, W.H. (2001-10). Automatic Bayesian model averaging for linear regression and applications in Bayesian curve fitting. Statistica Sinica 11 (4) : 1005-1029. ScholarBank@NUS Repository.
Abstract: With the development of MCMC methods, Bayesian methods play a more and more important role in model selection and statistical prediction. However, the sensitivity of the methods to prior distributions has caused much difficulty to users. In the context of multiple linear regression, we propose an automatic prior setting, in which there is no parameter to be specified by users. Under the prior setting, we show that sampling from the posterior distribution is approximately equivalent to sampling from a Boltzmann distribution defined on Cp values. The numerical results show that the Bayesian model averaging procedure resulted from the automatic prior settin provides a significant improvement in predictive performance over other two procedures proposed in the literature. The procedure is extended to the problem of Bayesian curve fitting with regression splines. Evolutionary Monte Carlo is used to sample from the posterior distributions.
Source Title: Statistica Sinica
URI: http://scholarbank.nus.edu.sg/handle/10635/105033
ISSN: 10170405
Appears in Collections:Staff Publications

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