English

Bayesian Predictive Decision Synthesis

Methodology 2023-05-09 v3 Statistics Theory Statistics Theory

Abstract

Decision-guided perspectives on model uncertainty expand traditional statistical thinking about managing, comparing and combining inferences from sets of models. Bayesian predictive decision synthesis (BPDS) advances conceptual and theoretical foundations, and defines new methodology that explicitly integrates decision-analytic outcomes into the evaluation, comparison and potential combination of candidate models. BPDS extends recent theoretical and practical advances based on both Bayesian predictive synthesis and empirical goal-focused model uncertainty analysis. This is enabled by the development of a novel subjective Bayesian perspective on model weighting in predictive decision settings. Illustrations come from applied contexts including optimal design for regression prediction and sequential time series forecasting for financial portfolio decisions.

Keywords

Cite

@article{arxiv.2206.03815,
  title  = {Bayesian Predictive Decision Synthesis},
  author = {Emily Tallman and Mike West},
  journal= {arXiv preprint arXiv:2206.03815},
  year   = {2023}
}

Comments

30 pages, 8 figures, 1 table