Bayesian Stacking via Proper Scoring Rule Optimization using a Gibbs Posterior
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| Format: | Preprint |
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2025
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| author | Wadsworth, Spencer Niemi, Jarad |
| author_facet | Wadsworth, Spencer Niemi, Jarad |
| contents | In collaborative forecast projects, the combining of multiple probabilistic forecasts into an ensemble is standard practice, with linear pooling being a common combination method. The weighting scheme of a linear pool should be tailored to the specific research question, and weight selection is often performed via optimizing a proper scoring rule. This is known as optimal linear pooling. Besides optimal linear pooling, Bayesian predictive synthesis has emerged as a model probability updating scheme which is more flexible than standard Bayesian model averaging and which provides a Bayesian solution to selecting model weights for a linear pool. In many problems, equally weighted linear pool forecasts often outperform forecasts constructed using sophisticated weight selection methods. Thus regularization to an equal weighting of forecasts may be a valuable addition to any weight selection method. In this manuscript, we introduce an optimal linear pool based on a Gibbs posterior over stacked model weights optimized over a proper scoring rule. The Gibbs posterior extends stacking into a Bayesian framework by allowing for optimal weight solutions to be influenced by a prior distribution, and it also provides uncertainty quantification of weights in the form of a probability distribution. We compare ensemble forecast performance with model averaging methods and equal weighted models in simulation studies and in a real data example from the 2023-24 US Centers for Disease Control FluSight competition. In both the simulation studies and the FluSight analysis, the stacked Gibbs posterior produces ensemble forecasts which often outperform the ensembles of other methods. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2509_04203 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Bayesian Stacking via Proper Scoring Rule Optimization using a Gibbs Posterior Wadsworth, Spencer Niemi, Jarad Methodology In collaborative forecast projects, the combining of multiple probabilistic forecasts into an ensemble is standard practice, with linear pooling being a common combination method. The weighting scheme of a linear pool should be tailored to the specific research question, and weight selection is often performed via optimizing a proper scoring rule. This is known as optimal linear pooling. Besides optimal linear pooling, Bayesian predictive synthesis has emerged as a model probability updating scheme which is more flexible than standard Bayesian model averaging and which provides a Bayesian solution to selecting model weights for a linear pool. In many problems, equally weighted linear pool forecasts often outperform forecasts constructed using sophisticated weight selection methods. Thus regularization to an equal weighting of forecasts may be a valuable addition to any weight selection method. In this manuscript, we introduce an optimal linear pool based on a Gibbs posterior over stacked model weights optimized over a proper scoring rule. The Gibbs posterior extends stacking into a Bayesian framework by allowing for optimal weight solutions to be influenced by a prior distribution, and it also provides uncertainty quantification of weights in the form of a probability distribution. We compare ensemble forecast performance with model averaging methods and equal weighted models in simulation studies and in a real data example from the 2023-24 US Centers for Disease Control FluSight competition. In both the simulation studies and the FluSight analysis, the stacked Gibbs posterior produces ensemble forecasts which often outperform the ensembles of other methods. |
| title | Bayesian Stacking via Proper Scoring Rule Optimization using a Gibbs Posterior |
| topic | Methodology |
| url | https://arxiv.org/abs/2509.04203 |