Corpus ID: 220825267

Predictive properties and minimaxity of Bayesian predictive synthesis

@article{Takanashi2019PredictivePA,
  title={Predictive properties and minimaxity of Bayesian predictive synthesis},
  author={K. Takanashi and K. McAlinn},
  journal={arXiv: Statistics Theory},
  year={2019}
}

K. Takanashi, K. McAlinn

Published 2019

Mathematics, Economics

arXiv: Statistics Theory

We examine and compare the predictive properties of classes of ensemble methods, including the recently developed Bayesian predictive synthesis (BPS). We develop a novel strategy based on stochastic processes, where the predictive processes are expressed as stochastic differential equations, evaluated using It\^{o}'s lemma. Using this strategy, we identify two main classes of ensemble methods: linear combination and non-linear synthesis, and show that a subclass of BPS is the latter. With… CONTINUE READING

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