Bias-variance trade-off for prequential model list selection

DOI10.1007/s00362-009-0289-6zbMath1229.62072OpenAlexW1994522454MaRDI QIDQ657069

Ernest Fokoué, Bertrand S. Clarke

Publication date: 13 January 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-009-0289-6

zbMATH Keywords

online predictionBayes model averagingmodel list selection

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Bayesian inference (62F15) Sequential estimation (62L12)

Related Items (3)

Using stacking to average Bayesian predictive distributions (with discussion) ⋮ Prequential omnibus goodness-of-fit tests for stochastic processes: A numerical study ⋮ Unnamed Item

Uses Software

• PDCO

Cites Work

• Unnamed Item
• Unnamed Item
• Choosing the link function and accounting for link uncertainty in generalized linear models using Bayes factors
• Introducing model uncertainty by moving blocks bootstrap
• Prequential probability: principles and properties
• Decomposing posterior variance
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Prediction of response values in linear regression models from replicated experiments
• Optimal predictive model selection.
• An averaging approach to prediction
• Atomic Decomposition by Basis Pursuit
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• Time-frequency localization operators: a geometric phase space approach
• Atomic Decomposition by Basis Pursuit
• Bayesian Model Averaging for Linear Regression Models
• Frequentist Model Average Estimators
• The Variable Selection Problem
• Bayes Factors

This page was built for publication: Bias-variance trade-off for prequential model list selection