2006-02-10, English, Article, Journal or magazine article edition: Bayesian curve estimation by model averaging. PeA[+ or -]a, Daniel; Redondas, Dolores

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Physical Description
  • Magazine/​Journal article
Published
  • Elsevier B.V., 2006 Feb 10
Language
  • English

Edition details

Title
  • Bayesian curve estimation by model averaging.
Appears In
  • Computational Statistics and Data Analysis, v.50, no.3, 2006 Feb 10, p.688(22) (ISSN: 0167-9473)
Author
  • PeA[+ or -]a, Daniel
  • Redondas, Dolores
Published
  • Elsevier B.V., 2006 Feb 10
Physical Description
  • Magazine/​Journal article
Subjects
Target Audience
  • Academic
Summary
  • To link to full-text access for this article, visit this link: http:/​/​dx.doi.org/​10.1016/​j.csda.2004.09.008 Byline: Daniel PeA[+ or -]a, Dolores Redondas Abstract: A Bayesian approach is used to estimate a nonparametric regression model. The main features of the procedure are, first, the functional form of the curve is approximated by a mixture of local polynomials by Bayesian model averaging (BMA), second, the model weights are approximated by the BIC criterion and third, a robust estimation procedure is incorporated to improve the smoothness of the estimated curve. The models considered at each sample points are polynomial regression models of order smaller than four, and the parameters are estimated by a local window. The predictive value is computed by BMA, and the posterior probability of each model is approximated by the exponential of the BIC criterion. Robustness is achieved by assuming that the noise follows a scale contaminated normal model, so that the effect of possible outliers is downweighted. The procedure provides a smooth curve and allows a straightforward prediction and quantification of the uncertainty. The method is illustrated with several examples and Monte Carlo experiments. Author Affiliation: Department of Statistics, Universidad Carlos III de Madrid, c/Madrid 126, 28903, Getafe, Madrid, Spain Article History: Received 16 July 2003; Revised 21 September 2004; Accepted 21 September 2004
Terms of Use
  • COPYRIGHT 2006 Elsevier B.V.
Language
  • English
Database
  • Gale Academic OneFile
Identifier
  • 196766349

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