Telematics has emerged as one of the most critical data sources in today’s auto insurance industry. Despite the potential predictive value of telematics information for auto insurance claims, such data are typically available for only a small subset of policyholders, leaving the majority without telematics features. In this paper, we propose a multi-view ensemble learning framework to address this unique data structure. We consider multiple predictive models trained on different data views and combine these heterogeneous models through Bayesian model averaging. Through an extensive experimental study, we demonstrate that the proposed method assigns data-adaptive weights to individual models and delivers robust predictive performance across a variety of practical settings.

A key parameter estimated by lab and field experiments in economics is the individual discount rate—and the results vary widely. We examine the extent to which this variance can be attributed to observable differences in methods, subject pools, and potential publication bias. To address the model uncertainty inherent to such an exercise we employ Bayesian and frequentist model averaging. We obtain evidence consistent with publication bias against unintuitive results. The corrected mean annual discount rate is 0.33. Our findings also suggest that discount rates are independent across domains: people tend to be less patient when health is at stake compared to money. Negative framing is associated with more patience. Finally, the results of lab and field experiments differ systematically, and it also matters whether the experiment relies on students or uses broader samples of the population.

Multinomial processing trees (MPTs) are a popular class of cognitive models for categorical data. Typically, researchers compare several MPTs, each equipped with many parameters, especially when the models are implemented in a hierarchical framework. A Bayesian solution is to compute posterior model probabilities and Bayes factors. Both quantities, however, rely on the marginal likelihood, a high-dimensional integral that cannot be evaluated analytically. In this case study, we show how Warp-III bridge sampling can be used to compute the marginal likelihood for hierarchical MPTs. We illustrate the procedure with two published data sets and demonstrate how Warp-III facilitates Bayesian model averaging.

Issues of model selection have dominated the theoretical and applied statistical literature for decades. Model selection methods such as ridge regression, the lasso, and the elastic net have replaced ad hoc methods such as stepwise regression as a means of model selection. In the end, however, these methods lead to a single final model that is often taken to be the model considered ahead of time, thus ignoring the uncertainty inherent in the search for a final model. One method that has enjoyed a long history of theoretical developments and substantive applications, and that accounts directly for uncertainty in model selection, is Bayesian model averaging (BMA). BMA addresses the problem of model selection by not selecting a final model, but rather by averaging over a space of possible models that could have generated the data. The purpose of this paper is to provide a detailed and up-to-date review of BMA with a focus on its foundations in Bayesian decision theory and Bayesian predictive modeling. We consider the selection of parameter and model priors as well as methods for evaluating predictions based on BMA. We also consider important assumptions regarding BMA and extensions of model averaging methods to address these assumptions, particularly the method of Bayesian stacking. Simple empirical examples are provided and directions for future research relevant to psychometrics are discussed.

Association models constitute an attractive alternative to the usual log-linear models for modeling the dependence between classification variables. They impose special structure on the underlying association by assigning scores on the levels of each classification variable, which can be fixed or parametric. Under the general row-column (RC) association model, both row and column scores are unknown parameters without any restriction concerning their ordinality. However, when the classification variables are ordinal, order restrictions on the scores arise naturally. Under such restrictions, we adopt an alternative parameterization and draw inferences about the equality of adjacent scores using the Bayesian approach. To achieve that, we have constructed a reversible jump Markov chain Monte Carlo algorithm for moving across models of different dimension and estimate accurately the posterior model probabilities which can be used either for model comparison or for model averaging. The proposed methodology is evaluated through a simulation study and illustrated using actual datasets.

Conventional measures of predictor importance in linear models are applicable only when the assumption of homoscedasticity is satisfied. Moreover, they cannot be adapted to evaluating predictor importance in models of heteroscedasticity (i.e., dispersion), an issue that seems not to have been systematically addressed in the literature. We compare two suitable approaches, Dominance Analysis (DA) and Bayesian Model Averaging (BMA), for simultaneously evaluating predictor importance in models of location and dispersion. We apply them to the beta general linear model as a test-case, illustrating this with an example using real data. Simulations using several different model structures, sample sizes, and degrees of multicollinearity suggest that both DA and BMA largely agree on the relative importance of predictors of the mean, but differ when ranking predictors of dispersion. The main implication of these findings for researchers is that the choice between DA and BMA is most important when they wish to evaluate the importance of predictors of dispersion.

The main goal of this study is to investigate if the publicly available sea state forecasts for the Aran Islands region in the Republic of Ireland can be improved. This improvement is achieved by using the combination of local scale sea state forecasts and Bayesian Model Averaging techniques. The question of a good forecast has been around since the start of forecasting. With current state-of-the-art numerical models, computational power, and vast data availability, we consider whether it is possible to improve model forecasts only by using the combination of publicly available forecasts, free open-source software, and very moderate computational power. It is shown that it is possible to improve the sea state forecast by at least $ 1\% $, and in some cases up to $ 8\% $. The reduction of error is between $ 6\% $ and $ 48\% $. With a more careful and specific selection of training parameters, it is possible to improve the forecast accuracy even more. The possibility of extending this local improvement to the whole coastal area around the island of Ireland is explored. Unfortunately, it is currently impossible, due to a lack of live data buoys in the coastal waters. Nonetheless, it is shown that the proposed process is simple and can be implemented by anyone whose livelihood depends on an accurate sea state forecast. It does not require large computational power, model forecasts are publicly available, and there is minimal to no training in forecasting and statistics required to enable one to perform such improvements for one’s area of interest, provided one has access to live wave data.

Adaptation-relevant predictions of climate change are often derived by combining climate model simulations in a multi-model ensemble. Model evaluation methods used in performance-based ensemble weighting schemes have limitations in the context of high-impact extreme events. We introduce a locally time-invariant method for evaluating climate model simulations with a focus on assessing the simulation of extremes. We explore the behavior of the proposed method in predicting extreme heat days in Nairobi and provide comparative results for eight additional cities.

Climate change is expected to increase the frequency and intensity of extreme weather events. To properly assess the increased economical risk of these events, actuaries can gain in relying on expert models/opinions from multiple different sources, which requires the use of model combination techniques. From non-parametric to Bayesian approaches, different methods rely on varying assumptions potentially leading to very different results. In this paper, we apply multiple model combination methods to an ensemble of 24 experts in a pooling approach and use the differences in outputs from the different combinations to illustrate how one can gain additional insight from using multiple methods. The densities obtained from pooling in Montreal and Quebec City highlight the significant changes in higher quantiles obtained through different combination approaches. Areal reduction factor and quantile projected changes are used to show that consistency, or lack thereof, across approaches reflects the uncertainty of combination methods. This shows how an actuary using multiple expert models should consider more than one combination method to properly assess the impact of climate change on loss distributions, seeing as a single method can lead to overconfidence in projections.

Neurocognitive development is a dynamic process over the life course and is influenced by intrauterine factors as well as later life environment. Using data from the Pune Maternal Nutrition Study from 1994 to 2008, we investigate the association of in utero, birth, and childhood conditions with offspring neurocognitive development in 686 participants of the cohort, at age 12 years. The life course exposure variables in the analysis include maternal pre-pregnancy size and nutrition during pregnancy, offspring birth measurements, nutrition and physical growth at age 12 years along with parental education and socio-economic status. We used the novel Bayesian Model Averaging (BMA) approach; which has been shown to have better predictive performance over traditional tests of associations. Our study employs eight standard neurocognitive tests that measure intelligence, working memory, visuo-conceptual and verbal learning, and decision-making/attention at 12 years of age. We control for nutritional-metabolic information based on blood measurements from the pregnant mothers and the children at 12 years of age. Our findings highlight the critical role of parental education and socio-economic background in determining child neurocognitive performance. Maternal characteristics (pre-pregnancy BMI, fasting insulin during pregnancy) and child height at 12 years were also robust predictors on the BMA. A range of early factors – such as maternal folate and ferritin concentrations during pregnancy, and child’s head circumference at birth – remained important determinants of some dimensions of child’s neurocognitive development, but their associations were not robust once we account for model uncertainty. Our results suggest that intrauterine influences on long- term neurocognitive outcomes may be potentially reversible by post-birth remediation. In addition to the current nutritional interventions, public health policy should also consider social interventions in children born into families with low socio-economic status to improve human capital.

Spatial econometric models become increasingly popular in various subfields of political science. However, the necessity to specify the underlying network of dependencies, denoted by $\boldsymbol{W}$, prior to estimation is a prevalent source of criticism since the true dependence structure is rarely known and theories mostly provide insufficient guidance. The present study investigates the effects of this network uncertainty which is a special case of model uncertainty that arises from uncertainty about the correct specification of $\boldsymbol{W}$. It advocates Bayesian model averaging (BMA) as a superior approach to this problem, located at the intersection of theory and empirics. Conducting Monte Carlo experiments, I demonstrate that, while the effect estimates are robust toward a misspecification in the functional form of $\boldsymbol{W}$, uncertainty in the neighborhood definition can bias the effect estimates derived from spatial autoregressive models. In contrast to alternative techniques, BMA directly addresses network uncertainty, correctly identifies the true network structure in the set of feasible alternatives, and provides unbiased effect estimates. Two replication studies from different subfields of the discipline illustrate the benefits of this approach for applied research.

Basis forecasting is important for producers and consumers of agricultural commodities in their risk management decisions. However, the best performing forecasting model found in previous studies varies substantially. Given this inconsistency, we take a Bayesian approach, which addresses model uncertainty by combining forecasts from different models. Results show model performance differs by location and forecast horizon, but the forecast from the Bayesian approach often performs favorably. In some cases, however, the simple moving averages have lower forecast errors. Besides the nearby basis, we also examine basis in a specific month and find that regression-based models outperform others in longer horizons.

This paper uses vector error correction models of Switzerland for forecasting output, inflation and the short-term interest rate. It considers three different ways of dealing with forecast uncertainties. First, it investigates the effect on forecasting performance of averaging over forecasts from different models. Second, it considers averaging forecasts from different estimation windows. It is found that averaging over estimation windows is at least as effective as averaging over different models and both complement each other. Third, it examines whether using weighting schemes from the machine learning literature improves the average forecast. Compared to equal weights the effect of alternative weighting schemes on forecast accuracy is small in the present application.