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Bayesian model averaging #7

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drbenvincent opened this issue Oct 5, 2022 · 0 comments
Open

Bayesian model averaging #7

drbenvincent opened this issue Oct 5, 2022 · 0 comments
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enhancement New feature or request

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@drbenvincent
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drbenvincent commented Oct 5, 2022

Suggestion from @ricardoV94: In situations where there are multiple valid models, then we either have to pick what model we want to use, or we can do Bayesian model averaging. So you can just fit both model, do model comparison which gives the model weightings, then we can generate model averaged predictions.

I think this was done as posterior_predictive_w (or similar) in PyMC3, but was not ported to v4.

@drbenvincent drbenvincent added the enhancement New feature or request label Oct 5, 2022
@drbenvincent drbenvincent added this to the Stabilise the backend milestone Dec 5, 2022
@drbenvincent drbenvincent removed this from the Stabilise the backend milestone Dec 13, 2022
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