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Bayesian Model Averaging for Linear Regression Models (1997)
by
Adrian E. Raftery
,
Jennifer A. Hoeting
,
David Madigan
| Venue: | Journal of the American Statistical Association |
| Citations: | 323 - 17 self |
BibTeX
@ARTICLE{Raftery97bayesianmodel,
author = {Adrian E. Raftery and Jennifer A. Hoeting and David Madigan},
title = {Bayesian Model Averaging for Linear Regression Models},
journal = {Journal of the American Statistical Association},
year = {1997},
volume = {92},
pages = {179--191}
}
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Abstract
We consider the problem of accounting for model uncertainty in linear regression models. Conditioning on a single selected model ignores model uncertainty, and thus leads to the underestimation of uncertainty when making inferences about quantities of interest. A Bayesian solution to this problem involves averaging over all possible models (i.e., combinations of predictors) when making inferences about quantities of
