A general framework for probabilistic model uncertainty
With Stephen Walker and Chris Holmes. Submitted. [arXiv] [Github]
We propose a novel approach to model uncertainty, framing it as a missing data problem that can be solved via predictive resampling. This eliminates the need for subjective prior elicitation by leveraging one-step-ahead predictive densities and consistent model selection criteria. We demonstrate applications to hypothesis testing, density estimation, and variable selection.