Bayesian hierarchical stacking: Some models are (somewhere) useful

1 code implementation • 22 Jan 2021 • Yuling Yao, Gregor Pirš, Aki Vehtari, Andrew Gelman

We show that stacking is most effective when model predictive performance is heterogeneous in inputs, and we can further improve the stacked mixture with a hierarchical model.

Bayesian Inference Time Series +1