A Bayesian Measure of Model Accuracy

Ensuring that the proposed probabilistic model accurately represents the problem is a critical step in statistical modeling, as choosing a poorly fitting model can have significant repercussions on the decision-making process. The primary objective of statistical modeling often revolves around predicting new observations, highlighting the importance of assessing the model's accuracy. However, current methods for evaluating predictive ability typically involve model comparison, which may not guarantee a good model selection. This work presents an accuracy measure designed for evaluating a model's predictive capability. This measure, which is straightforward and easy to understand, includes a decision criterion for model rejection. The development of this proposal adopts a Bayesian perspective of inference, elucidating the underlying concepts and outlining the necessary procedures for application. To illustrate its utility, the proposed methodology was applied to real-world data, facilitating an assessment of its practicality in real-world scenarios.