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

DOI10.2307/2981683zbMATH Open0557.62080OpenAlexW2796293253MaRDI QIDQ3221237FDOQ3221237

Authors: A. Philip Dawid 

Publication date: 1984

Published in: Journal of the Royal Statistical Society. Series A (General) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2981683

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zbMATH Keywords

likelihoodconsistencyefficiencyforecasting problemsprequential forecasting system

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Inference from stochastic processes and prediction (62M20)

Cited In (only showing first 100 items - show all)

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• Bayes and robust Bayes prediction with an application to a rainfall prediction problem
• Fluctuation-Dissipation Theorem and Models of Learning
• A new understanding of subjective probability and its generalization to lower and upper prevision.
• Robust Bayesian prediction and estimation under a squared log error loss function
• Learning model trees from evolving data streams
• Bayesian model selection based on proper scoring rules
• Calibration tests for count data
• Extensive scoring rules
• Useful models for time series of counts or simply wrong ones?
• Semi-parametric dynamic time series modelling with applications to detecting neural dynamics
• Local proper scoring rules of order two
• Rejoinder on: Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds
• Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma
• A game of prediction with expert advice
• Dynamic prediction pools: an investigation of financial frictions and forecasting performance
• Causal interpretation of graphical models
• Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models
• Bootstrap model selection for possibly dependent and heterogeneous data
• On evaluating stream learning algorithms
• Bayes factors: Prior sensitivity and model generalizability
• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• Online forecast combinations of distributions: worst case bounds
• Model selection and prediction: Normal regression
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• Learning Bayesian network classifiers by risk minimization
• Continuous-time trading and the emergence of probability
• Change-point problems in software and hardware reliability
• Goodness of fit tests for a class of Markov random field models
• Robustness of one-sided cross-validation to autocorrelation
• Harold Jeffreys's \textit{Theory of probability} revisited
• Simultaneous prediction of independent Poisson observables
• Bayesian parameter estimation in the Expectancy Valence model of the Iowa gambling task
• Prediction in several conventional contexts
• On universal prediction and Bayesian confirmation
• Hierarchical Bayes models for response time data
• Adaptive game playing using multiplicative weights
• Comments on: Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds
• Incorporating geostrophic wind information for improved space-time short-term wind speed forecasting
• Uncertainty quantification in complex simulation models using ensemble copula coupling
• A generalized JM model with applications to imperfect debugging in software reliability
• Forecasting point and continuous processes: Prequential analysis
• A Tutorial on Learning with Bayesian Networks
• A Bayesian analysis of beta testing
• Prequential randomness and probability
• A prequential test for exchangeable theories
• Copula calibration
• Probability, causality and the empirical world: a Bayes-de Finetti-Popper-Borel synthesis
• Evaluating DSGE model forecasts of comovements
• Combining predictive distributions
• Diagnostic tools for approximate Bayesian computation using the coverage property
• Generic E-Variables for Exact Sequential k-Sample Tests that allow for Optional Stopping
• Non‐parametric Bayesian Hazard Regression for Chronic Disease Risk Assessment
• On-line predictive linear regression
• Nonmanipulable Bayesian testing
• Combining VAR and DSGE forecast densities
• A Glivenko-Cantelli theorem for exchangeable random variables
• A method for Bayesian monotonic multiple regression
• Test martingales, Bayes factors and \(p\)-values
• Accumulative prediction error and the selection of time series models
• The exchangeable multinomial model as an approach to testing deterministic axioms of choice and measurement
• Verification of internal risk measure estimates
• NML, Bayes and true distributions: a comment on Karabatsos and Walker (2006)
• Competitive On-line Statistics
• Veridical data science
• Imprecise probability trees: bridging two theories of imprecise probability
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Model selection by normalized maximum likelihood
• Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty
• To explain or to predict?
• Classification of binary vectors by stochastic complexity.
• Eliciting prior information to enhance the predictive performance of bayesian graphical models
• Optimal prediction pools
• Benchmark priors for Bayesian model averaging.
• Predictive model assessment for count data
• Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds
• A score regression approach to assess calibration of continuous probabilistic predictions
• Voronoi residual analysis of spatial point process models with applications to California earthquake forecasts
• Stochastic complexity and the mdl principle
• Seasonal count time series
• Incremental predictive clustering trees for online semi-supervised multi-target regression
• VARIABLE SELECTION FOR BAYESIAN SURVIVAL MODELS USING BREGMAN DIVERGENCE MEASURE
• Bayesian ikference procedures derived via the concept of relative surprise
• Prequential analysis of complex data with adaptive model reselection
• Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination
• Game-theoretic statistics and safe anytime-valid inference
• Price probabilities: a class of Bayesian and non-Bayesian prediction rules
• Arbitrage of forecasting experts
• On future directions in statistical methodologies -- some speculations
• Robust Bayesian methodology with applications in credibility premium derivation and future claim size prediction
• On count time series prediction
• U-plot method for testing the goodness-of-fit of the power-law process
• Probabilistic Models for Bacterial Taxonomy
• Bayesian model learning based on predictive entropy
• Efficient real-time monitoring of an emerging influenza pandemic: how feasible?
• Multivariate Postprocessing Methods for High-Dimensional Seasonal Weather Forecasts
• Gibbs distribution from sequentially predictive form of the second law
• A non-linear forecast combination procedure for binary outcomes
• Assessing fit in Bayesian models for spatial processes
• Optimal estimation versus MCMC for CO\(_2\) retrievals

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