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Benchmark Priors Revisited.
Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and proposes to address it by a hyper-g prior, whose data-dependent shrinkage adapts...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington :
International Monetary Fund,
2009.
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| Colección: | IMF Working Papers.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 049 | |a UAMI | ||
| 100 | 1 | |a Feldkircher, Martin. | |
| 245 | 1 | 0 | |a Benchmark Priors Revisited. |
| 260 | |a Washington : |b International Monetary Fund, |c 2009. | ||
| 300 | |a 1 online resource (60 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF Working Papers ; |v v. Working Paper No. 09/202 | |
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Cover Page; Title Page; Copyright Page; Contents; I Introduction; II Bayesian Model Averaging under Zellner's g Prior; II. 1 Popular Settings for Zellner's g; III The Hyper-g Prior: A Beta Prior on the Shrinkage Factor; IV A Simulation Study; V Growth Determinants Revisited; VI Concluding Remarks; A Technical Appendix; A. 1 Consistency of the Hyper-g Prior; A. 2 Relationship between Hyper-g Prior and EBL; A. 3 The Shrinkage Factor and Goodness-of-Fit; A. 4 The Posterior Predictive Distribution and the Hyper-g Prior; A. 5 The Beta-binomial Prior over the Model Space; A. 6 Charts and Tables. | |
| 504 | |a ReferencesFootnotes. | ||
| 520 | |a Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and proposes to address it by a hyper-g prior, whose data-dependent shrinkage adapts posterior model distributions to data quality. Analytically, existing work on the hyper-g-prior is complemented by posterior expressions essential to fully Bayesian analysis and to sound numerical implementation. A simulation experiment illustrates the implications for posterior inference. Furthermore, | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Bayesian statistical decision theory. | |
| 650 | 0 | |a Economic development |x Mathematical models. | |
| 650 | 6 | |a Théorie de la décision bayésienne. | |
| 650 | 6 | |a Développement économique |x Modèles mathématiques. | |
| 650 | 7 | |a Bayesian statistical decision theory |2 fast | |
| 650 | 7 | |a Economic development |x Mathematical models |2 fast | |
| 700 | 1 | |a Zeugner, Stefan. | |
| 776 | 0 | 8 | |i Print version: |a Feldkircher, Martin. |t Benchmark Priors Revisited: On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging. |d Washington : International Monetary Fund, ©2009 |z 9781451873498 |
| 830 | 0 | |a IMF Working Papers. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1608830 |z Texto completo |
| 938 | |a ProQuest Ebook Central |b EBLB |n EBL1608830 | ||
| 938 | |a YBP Library Services |b YANK |n 11618258 | ||
| 994 | |a 92 |b IZTAP | ||