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Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models (2013)
| Content Provider | CiteSeerX |
|---|---|
| Author | Knight, John Satchell, Stephen Zhang, Jessica Qi |
| Abstract | We examine a popular practitioner methodology used in the construction of linear factor models whereby particular factors are increased or decreased in relative importance within the model. This allows model builders to customise models and, as such, reflect those factors that the client and modeller may think important. We call this process Prag-matic Bayesianism (or prag-Bayes for short) and we provide analysis which shows when such a procedure is likely to be successful. |
| File Format | |
| Publisher Date | 2013-01-01 |
| Access Restriction | Open |
| Subject Keyword | Linear Factor Model Sequential Variable Selection Bayesian Pragmatism Particular Factor Process Prag-matic Bayesianism Popular Practitioner Methodology Model Builder Relative Importance |
| Content Type | Text |
