Open Journal of Statistics

Volume 6, Issue 2 (April 2016)

ISSN Print: 2161-718X   ISSN Online: 2161-7198

Google-based Impact Factor: 0.53  Citations  

A Mixture-Based Bayesian Model Averaging Method

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DOI: 10.4236/ojs.2016.62019    2,497 Downloads   4,257 Views  Citations

ABSTRACT

Bayesian model averaging (BMA) is a popular and powerful statistical method of taking account of uncertainty about model form or assumption. Usually the long run (frequentist) performances of the resulted estimator are hard to derive. This paper proposes a mixture of priors and sampling distributions as a basic of a Bayes estimator. The frequentist properties of the new Bayes estimator are automatically derived from Bayesian decision theory. It is shown that if all competing models have the same parametric form, the new Bayes estimator reduces to BMA estimator. The method is applied to the daily exchange rate Euro to US Dollar.

Share and Cite:

Nguefack-Tsague, G. and Zucchini, W. (2016) A Mixture-Based Bayesian Model Averaging Method. Open Journal of Statistics, 6, 220-228. doi: 10.4236/ojs.2016.62019.

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