A Bayesian Approach for Predicting with Polynomial Regresión of Unknown Degree
AbstractThis article presents a comparison of four methods to compute the posterior probabilities of the possible orders in polynomial regression models. These posterior probabilities are used for forecasting by using Bayesian model averaging. It is shown that Bayesian model averaging provides a closer relationship between the theoretical coverage of the high density predictive interval (HDPI) and the observed coverage than those corresponding to selecting the best model. The performance of the different procedures are illustrated with simulations and some known engineering data.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws032104.
Date of creation: Apr 2003
Date of revision:
Contact details of provider:
Postal: C/ Madrid, 126 - 28903 GETAFE (MADRID)
Web page: http://www.uc3m.es/uc3m/dpto/DEE/departamento.html
More information through EDIRC
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-04-13 (All new papers)
- NEP-CMP-2003-11-06 (Computational Economics)
- NEP-ECM-2003-04-13 (Econometrics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Carmen Fernández & Eduardo Ley & Mark F. J. Steel, 2002.
"Bayesian modelling of catch in a north-west Atlantic fishery,"
Journal of the Royal Statistical Society Series C,
Royal Statistical Society, vol. 51(3), pages 257-280.
- Carmen Fernandez & Eduardo Ley & Mark Steel, 2001. "Bayesian Modelling of Catch in a Northwest Atlantic Fishery," Econometrics 0110003, EconWPA, revised 18 Nov 2001.
- Carmen Fernandez & E. Ley & M. F. J. Steel, 2004. "Bayesian modelling of catch in a Northwest Atlantic Fishery," ESE Discussion Papers 67, Edinburgh School of Economics, University of Edinburgh.
- Philips, R. & Guttman, I., 1998. "A new criterion for variable selection," Statistics & Probability Letters, Elsevier, vol. 38(1), pages 11-19, May.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.