A conceptual introduction to Bayesian model averaging
Number of pages
SourceAdvances in Methods and Practices in Psychological Science, 3, 2, (2020), pp. 200-215
Article / Letter to editor
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SW OZ DCC AI
Advances in Methods and Practices in Psychological Science
SubjectCognitive artificial intelligence
Many statistical scenarios initially involve several candidate models that describe the data-generating process. Analysis often proceeds by first selecting the best model according to some criterion and then learning about the parameters of this selected model. Crucially, however, in this approach the parameter estimates are conditioned on the selected model, and any uncertainty about the model-selection process is ignored. An alternative is to learn the parameters for all candidate models and then combine the estimates according to the posterior probabilities of the associated models. This approach is known as Bayesian model averaging (BMA). BMA has several important advantages over all-or-none selection methods, but has been used only sparingly in the social sciences. In this conceptual introduction, we explain the principles of BMA, describe its advantages over all-or-none model selection, and showcase its utility in three examples: analysis of covariance, meta-analysis, and network analysis.
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