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WEIGHTED‐AVERAGE LEAST SQUARES (WALS): A SURVEY |
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| Authors: | Jan R. Magnus Giuseppe De Luca |
| Affiliation: | 1. VU University Amsterdam;2. University of Palermo |
| Abstract: | Model averaging has become a popular method of estimation, following increasing evidence that model selection and estimation should be treated as one joint procedure. Weighted‐average least squares (WALS) is a recent model‐average approach, which takes an intermediate position between frequentist and Bayesian methods, allows a credible treatment of ignorance, and is extremely fast to compute. We review the theory of WALS and discuss extensions and applications. |
| Keywords: | Computing time Frequentist versus Bayesian Least squares Model averaging Priors |