Comparison of the Frequentist MATA Confidence Interval with Bayesian Model-Averaged Confidence Intervals
Model averaging is a technique used to account for model uncertainty, in both Bayesian and frequentist multimodel inferences. In this paper, we compare the performance of model-averaged Bayesian credible intervals and frequentist confidence intervals. Frequentist intervals are constructed according...
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| Format: | Article |
| Language: | English |
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Wiley
2015-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2015/420483 |
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| author | Daniel Turek |
| author_facet | Daniel Turek |
| author_sort | Daniel Turek |
| collection | DOAJ |
| description | Model averaging is a technique used to account for model uncertainty, in both Bayesian and frequentist multimodel inferences. In this paper, we compare the performance of model-averaged Bayesian credible intervals and frequentist confidence intervals. Frequentist intervals are constructed according to the model-averaged tail area (MATA) methodology. Differences between the Bayesian and frequentist methods are illustrated through an example involving cloud seeding. The coverage performance and interval width of each technique are then studied using simulation. A frequentist MATA interval performs best in the normal linear setting, while Bayesian credible intervals yield the best coverage performance in a lognormal setting. The use of a data-dependent prior probability for models improved the coverage of the model-averaged Bayesian interval, relative to that using uniform model prior probabilities. Data-dependent model prior probabilities are philosophically controversial in Bayesian statistics, and our results suggest that their use is beneficial when model averaging. |
| format | Article |
| id | doaj-art-504adfd02f514b008ec9e6bc78f32074 |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2015-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-504adfd02f514b008ec9e6bc78f320742025-02-03T00:59:14ZengWileyJournal of Probability and Statistics1687-952X1687-95382015-01-01201510.1155/2015/420483420483Comparison of the Frequentist MATA Confidence Interval with Bayesian Model-Averaged Confidence IntervalsDaniel Turek0Department of Mathematics and Statistics, University of Otago, Dunedin 9054, New ZealandModel averaging is a technique used to account for model uncertainty, in both Bayesian and frequentist multimodel inferences. In this paper, we compare the performance of model-averaged Bayesian credible intervals and frequentist confidence intervals. Frequentist intervals are constructed according to the model-averaged tail area (MATA) methodology. Differences between the Bayesian and frequentist methods are illustrated through an example involving cloud seeding. The coverage performance and interval width of each technique are then studied using simulation. A frequentist MATA interval performs best in the normal linear setting, while Bayesian credible intervals yield the best coverage performance in a lognormal setting. The use of a data-dependent prior probability for models improved the coverage of the model-averaged Bayesian interval, relative to that using uniform model prior probabilities. Data-dependent model prior probabilities are philosophically controversial in Bayesian statistics, and our results suggest that their use is beneficial when model averaging.http://dx.doi.org/10.1155/2015/420483 |
| spellingShingle | Daniel Turek Comparison of the Frequentist MATA Confidence Interval with Bayesian Model-Averaged Confidence Intervals Journal of Probability and Statistics |
| title | Comparison of the Frequentist MATA Confidence Interval with Bayesian Model-Averaged Confidence Intervals |
| title_full | Comparison of the Frequentist MATA Confidence Interval with Bayesian Model-Averaged Confidence Intervals |
| title_fullStr | Comparison of the Frequentist MATA Confidence Interval with Bayesian Model-Averaged Confidence Intervals |
| title_full_unstemmed | Comparison of the Frequentist MATA Confidence Interval with Bayesian Model-Averaged Confidence Intervals |
| title_short | Comparison of the Frequentist MATA Confidence Interval with Bayesian Model-Averaged Confidence Intervals |
| title_sort | comparison of the frequentist mata confidence interval with bayesian model averaged confidence intervals |
| url | http://dx.doi.org/10.1155/2015/420483 |
| work_keys_str_mv | AT danielturek comparisonofthefrequentistmataconfidenceintervalwithbayesianmodelaveragedconfidenceintervals |