Almost the Best of Three Worlds: Risk, Consistency and Optional Stopping for the Switch Criterion in Nested Model Selection

DOI10.5705/ss.202016.0011zbMath1382.62006arXiv1408.5724OpenAlexW2963980990WikidataQ56906321 ScholiaQ56906321MaRDI QIDQ4602123

Stéphanie van der Pas, Peter D. Grünwald

Publication date: 26 January 2018

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.5724

zbMATH Keywords

consistencymodel selectionexponential familyoptional stoppingpost model selection estimationAIC-BIC dilemmaswitch distributionworst-case risk

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Statistical ranking and selection procedures (62F07)

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