# Questions tagged [model-averaging]

The process of combining different models to get a better resulting model than any of the constituents. Eg, computing a parameter estimator as the average of the estimators from each component model.

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### Why is pseudo-Bayesian Model Averaging using WAIC giving counterintuitive results for my model? Issue with unconstrained data uncertainty?

I'm currently working on a model which fits a pair of curves which are parameterized by some shape and scaling parameters. I want to produce weights for two different models. In my first model, which ...
68 views

### Regularization via model averaging?

Say you have the model $$\Phi^{-1} \left(y\right)=\beta_0 + \beta_1 x$$ I am interested in adding some regularization, specifically concerning the parameter $\beta_1$, to introduce some "skepticism" ...
29 views

### Is It Valid To Calculate Model-Averaged Confidence Intervals In the Same Way As Model Averaged Predictions?

I'm fitting a series of mixed-effects models, and I'm trying to calculate the model-averaged predictions and their confidence intervals. If I have a set of $R$ models $\{M_1,...,M_R\}$ I know that ...
28 views

### When averaging models, which models need to meet assumptions?

I have 16 variables and am running all possible models (65,535 total!), then averaging the best models. A model including all variables has normally distributed residuals, but some of the 65,535 ...
60 views

### Is there a difference between averaging individual regressions and including a random effect?

I have a bit of a theoretical question about random effects models and regression. If I have a set of clustered, longitudinal data (say repeated measurements of $y$ on a number of different ...
17 views

### Coefficient Averaging to Predict Value at end of Time-Series/Possible Random Effects Model?

I have some discrete time series data that consist of the following variables of interest: Project ID ($project\_id$) The total budget for a particular project ($tot\_budget$) The person who runs the ...
27 views

### Combining regression models from separate data sets

What is the best way to combine regression betas from separate data sets? For example, a data set is split in two based on some fundamental characteristic, and the same two factor regression is run ...
135 views

### Weighting of multiple linear regressions in an ensemble

If I have a continuous dependent variable and N continuous predictors, and I fit all possible regressions with zero up to N variables, how should I weight those regressions for prediction? One ...