Predictive likelihood for Bayesian model selection and averaging

Tomohiro Ando, Ruey Tsay

研究成果: Article査読

33 被引用数 (Scopus)

抄録

This paper investigates the performance of the predictive distributions of Bayesian models. To overcome the difficulty of evaluating the predictive likelihood, we introduce the concept of expected log-predictive likelihoods for Bayesian models, and propose an estimator of the expected log-predictive likelihood. The estimator is derived by correcting the asymptotic bias of the log-likelihood of the predictive distribution as an estimate of its expected value. We investigate the relationship between the proposed criterion and the traditional information criteria and show that the proposed criterion is a natural extension of the traditional ones. A new model selection criterion and a new model averaging method are then developed, with the weights for the individual models being dependent on their expected log-predictive likelihoods. We examine the performance of the proposed method using Monte Carlo experiments and a real example, which concerns the prediction of quarterly growth rates of real gross domestic product in the G7 countries. Out-of-sample forecasts show that the proposed methodology outperforms other methods available in the literature.

本文言語English
ページ(範囲)744-763
ページ数20
ジャーナルInternational Journal of Forecasting
26
4
DOI
出版ステータスPublished - 2010 10 1

ASJC Scopus subject areas

  • ビジネスおよび国際経営

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