This article proposes a new Bayesian approach to prediction on continuous covariates. The Bayesian partition model constructs arbitrarily complex regression and classification surfaces by splitting the covariate space into an unknown number of disjoint regions. Within each region the data are assumed to be exchangeable and come from some simple distribution. Using conjugate priors, the marginal likelihoods of the models can be obtained analytically for any proposed partitioning of the space where the number and location of the regions is assumed unknown a priori. Markov chain Monte Carlo simulation techniques are used to obtain predictive distributions at the design points by averaging across posterior samples of partitions. © 2005 American Statistical Association, Institute of Mathematical Statistics, and Interface Foundation of North America.

Original publication

DOI

10.1198/106186005X78107

Type

Journal article

Journal

Journal of Computational and Graphical Statistics

Publication Date

01/12/2005

Volume

14

Pages

811 - 830