A topic which is receiving much current attention is the problem of Bayesian model averaging. This paper introduces a decision theoretic approach to the selection of the mixing density in the exchangeable data case. This effectively chooses an optimal averaging of the models according to some well-defined criterion.
A decision theoretic approach to model averaging
Muliere P.
2001
Abstract
A topic which is receiving much current attention is the problem of Bayesian model averaging. This paper introduces a decision theoretic approach to the selection of the mixing density in the exchangeable data case. This effectively chooses an optimal averaging of the models according to some well-defined criterion.
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