Richard McElreath 🐈⬛ reposted
New paper "To select or not to select: predictively consistent priors instead of model selection" with Anna Elisabeth Riha, Leevi Lindgren, @davidkohns.bsky.social, @paulbuerkner.com arxiv.org/abs/2606.22850 Model selection is not a substitute for building good models in the f…
AI Weekly's analysis
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- The paper claims flexible models with predictively consistent priors typically match or outperform selected simpler models in out-of-sample predictive performance.
- When model selection does help, the authors argue it signals problematic prior specifications rather than a genuine modeling advantage.
- The framework is tested across linear and logistic regression, variable selection, and nonlinear modeling, in a 34 page paper with 36 supplementary pages.
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