Focused Bayesian prediction

@article{LoaizaMaya2019FocusedBP,
  title={Focused Bayesian prediction},
  author={Rub'en Loaiza-Maya and Gael M. Martin and David T. Frazier},
  journal={Journal of Applied Econometrics},
  year={2019}
}
We propose a new method for conducting Bayesian prediction that delivers accurate predictions without correctly specifying the unknown true data generating process. A prior is defined over a class of plausible predictive models. After observing data, we update the prior to a posterior over these models, via a criterion that captures a user-specified measure of predictive accuracy. Under regularity, this update yields posterior concentration onto the element of the predictive class that… 
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