Journal article
A Comparison of Bayesian Multivariate Versus Univariate Normal Regression Models for Prediction
The American statistician, Vol.77(3), pp.304-312
2023
DOI: 10.1080/00031305.2022.2087735
Abstract
In many moderate dimensional applications we have multiple response variables that are associated with a common set of predictors. When the main objective is prediction of the response variables, a natural question is: do multivariate regression models that accommodate dependency among the response variables improve prediction compared to their univariate counterparts? Note that in this article, by univariate versus multivariate regression models we refer to regression models with a single versus multiple response variables, respectively. We assume that under both scenarios, there are multiple covariates. Our question is motivated by an application in climate science, which involves the prediction of multiple metrics that measure the activity, intensity, severity etc. of a hurricane season. Average sea surface temperatures (SSTs) during the hurricane season have been used as predictors for each of these metrics, in separate univariate regression models, in the literature. Since the true SSTs are yet to be observed during prediction, typically their forecasts from multiple climate models are used as predictors. Some climate models have a few missing values so we develop Bayesian univariate/multivariate normal regression models, that can handle missing covariates and variable selection uncertainty. Whether Bayesian multivariate normal regression models improve prediction compared to their univariate counterparts is not clear from the existing literature, and in this work we try to fill this gap.
Details
- Title: Subtitle
- A Comparison of Bayesian Multivariate Versus Univariate Normal Regression Models for Prediction
- Creators
- Xun Li - Discover Financial Services, Riverwoods, United StatesJoyee Ghosh - University of IowaGabriele Villarini - University of Iowa
- Resource Type
- Journal article
- Publication Details
- The American statistician, Vol.77(3), pp.304-312
- DOI
- 10.1080/00031305.2022.2087735
- ISSN
- 0003-1305
- eISSN
- 1537-2731
- Grant note
- name: The University of Iowa, Iowa City, Iowa, award: DMS-1612763; name: NSF DMS
- Language
- English
- Electronic publication date
- 06/08/2022
- Date published
- 2023
- Academic Unit
- IIHR--Hydroscience and Engineering; Civil and Environmental Engineering; Statistics and Actuarial Science
- Record Identifier
- 9984274549502771
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