Model choice: a minimum posterior predictive loss approach
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TL;DR
A predictive criterion where the goal is good prediction of a replicate of the observed data but tempered by fidelity to the observed values is proposed, which is obtained by minimising posterior loss for a given model.
Abstract
Journal Article Model choice: A minimum posterior predictive loss approach Get access ALAN E. GELFAND, ALAN E. GELFAND Department of Statistics, University of ConnecticutStorrs, Connecticut 06269-3120, [email protected] Search for other works by this author on: Oxford Academic Google Scholar SUJIT K. GHOSH SUJIT K. GHOSH Department of Statistics, North Carolina State UniversityRaleigh, North Carolina, 27695-8203, [email protected] Search for other works by this author on: Oxford Academic Google Scholar Biometrika, Volume 85, Issue 1, March 1998, Pages 1–11, https://doi.org/10.1093/biomet/85.1.1 Published: 01 March 1998 Article history Received: 01 September 1995 Revision received: 01 June 1997 Published: 01 March 1998