Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma (Q4632670): Difference between revisions

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scientific article; zbMATH DE number 7049287

Language	Label	Description	Also known as
English	Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma	scientific article; zbMATH DE number 7049287

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instance of

scholarly article

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title

Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma (English)

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Journal of the Royal Statistical Society Series B: Statistical Methodology

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publication date

30 April 2019

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zbMATH Keywords

adaptive estimation

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AIC

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Bayesian model averaging

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BIC

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model selection

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risk convergence

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9868.2011.01025.x

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cites work

A new look at the statistical model identification

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A Bayesian extension of the minimum AIC procedure of autoregressive model fitting

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Q4510963

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Minimum complexity density estimation

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The minimum description length principle in coding and modeling

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Approximation of density functions by sequences of exponential families

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Q4293547

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Q3214142

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Model Selection and Multimodel Inference

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Prediction, Learning, and Games

0 references

Information-theoretic asymptotics of Bayes methods

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Jeffreys' prior is asymptotically least favorable under entropy risk

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Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach

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Q4694516

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Choosing a Model Selection Strategy

0 references

On the consistency of Bayes estimates

0 references

Ideal spatial adaptation by wavelet shrinkage

0 references

The risk inflation criterion for multiple regression

0 references

Nonparametric Bayesian model selection and averaging

0 references

Model Selection and the Principle of Minimum Description Length

0 references

Mutual information, metric entropy and cumulative relative entropy risk

0 references

Tracking the best expert

0 references

Bayes Factors

0 references

Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set

0 references

Asymptotics of Discrete MDL for Online Prediction

0 references

Universal coding, information, prediction, and estimation

0 references

Density estimation by stochastic complexity

0 references

Estimating the dimension of a model

0 references

Asymptotic mean efficiency of a selection of regression variables

0 references

Q4223074

0 references

Model selection and prediction: Normal regression

0 references

Q4127159

0 references

Q4864293

0 references

Derandomizing stochastic prediction strategies

0 references

Improvement over bayes prediction in small samples in the presence of model uncertainty

0 references

Q4257269

0 references

Mixing strategies for density estimation.

0 references

Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation

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Consistency of cross validation for comparing regression procedures

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PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE?

0 references

Information-theoretic determination of minimax rates of convergence

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Identifiers

zbMATH Open document ID

1411.62073

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DOI

10.1111/j.1467-9868.2011.01025.x

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4632670

@@ Property / cites work @@
+A new look at the statistical model identification
+Normal rank
@@ Property / cites work @@
+A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
+Normal rank
@@ Property / cites work @@
+Q4510963
@@ Property / cites work: Q4510963 / rank @@
+Normal rank
@@ Property / cites work @@
+Minimum complexity density estimation
@@ Property / cites work: Minimum complexity density estimation / rank @@
+Normal rank
@@ Property / cites work @@
+The minimum description length principle in coding and modeling
+Normal rank
@@ Property / cites work @@
+Approximation of density functions by sequences of exponential families
+Normal rank
@@ Property / cites work @@
+Q4293547
@@ Property / cites work: Q4293547 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3214142
@@ Property / cites work: Q3214142 / rank @@
+Normal rank
@@ Property / cites work @@
+Model Selection and Multimodel Inference
@@ Property / cites work: Model Selection and Multimodel Inference / rank @@
+Normal rank
@@ Property / cites work @@
+Prediction, Learning, and Games
@@ Property / cites work: Prediction, Learning, and Games / rank @@
+Normal rank
@@ Property / cites work @@
+Information-theoretic asymptotics of Bayes methods
+Normal rank
@@ Property / cites work @@
+Jeffreys' prior is asymptotically least favorable under entropy risk
+Normal rank
@@ Property / cites work @@
+Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
+Normal rank
@@ Property / cites work @@
+Q4694516
@@ Property / cites work: Q4694516 / rank @@
+Normal rank
@@ Property / cites work @@
+Choosing a Model Selection Strategy
@@ Property / cites work: Choosing a Model Selection Strategy / rank @@
+Normal rank
@@ Property / cites work @@
+On the consistency of Bayes estimates
@@ Property / cites work: On the consistency of Bayes estimates / rank @@
+Normal rank
@@ Property / cites work @@
+Ideal spatial adaptation by wavelet shrinkage
@@ Property / cites work: Ideal spatial adaptation by wavelet shrinkage / rank @@
+Normal rank
@@ Property / cites work @@
+The risk inflation criterion for multiple regression
+Normal rank
@@ Property / cites work @@
+Nonparametric Bayesian model selection and averaging
+Normal rank
@@ Property / cites work @@
+Model Selection and the Principle of Minimum Description Length
+Normal rank
@@ Property / cites work @@
+Mutual information, metric entropy and cumulative relative entropy risk
+Normal rank
@@ Property / cites work @@
+Tracking the best expert
@@ Property / cites work: Tracking the best expert / rank @@
+Normal rank
@@ Property / cites work @@
+Bayes Factors
@@ Property / cites work: Bayes Factors / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
+Normal rank
@@ Property / cites work @@
+Asymptotics of Discrete MDL for Online Prediction
@@ Property / cites work: Asymptotics of Discrete MDL for Online Prediction / rank @@
+Normal rank
@@ Property / cites work @@
+Universal coding, information, prediction, and estimation
+Normal rank
@@ Property / cites work @@
+Density estimation by stochastic complexity
@@ Property / cites work: Density estimation by stochastic complexity / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating the dimension of a model
@@ Property / cites work: Estimating the dimension of a model / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic mean efficiency of a selection of regression variables
+Normal rank
@@ Property / cites work @@
+Q4223074
@@ Property / cites work: Q4223074 / rank @@
+Normal rank
@@ Property / cites work @@
+Model selection and prediction: Normal regression
@@ Property / cites work: Model selection and prediction: Normal regression / rank @@
+Normal rank
@@ Property / cites work @@
+Q4127159
@@ Property / cites work: Q4127159 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4864293
@@ Property / cites work: Q4864293 / rank @@
+Normal rank
@@ Property / cites work @@
+Derandomizing stochastic prediction strategies
@@ Property / cites work: Derandomizing stochastic prediction strategies / rank @@
+Normal rank
@@ Property / cites work @@
+Improvement over bayes prediction in small samples in the presence of model uncertainty
+Normal rank
@@ Property / cites work @@
+Q4257269
@@ Property / cites work: Q4257269 / rank @@
+Normal rank
@@ Property / cites work @@
+Mixing strategies for density estimation.
@@ Property / cites work: Mixing strategies for density estimation. / rank @@
+Normal rank
@@ Property / cites work @@
+Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation
+Normal rank
@@ Property / cites work @@
+Consistency of cross validation for comparing regression procedures
+Normal rank
@@ Property / cites work @@
+PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE?
+Normal rank
@@ Property / cites work @@
+Information-theoretic determination of minimax rates of convergence
+Normal rank