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

DOI10.1111/j.1467-9868.2011.01025.xzbMath1411.62073OpenAlexW2117570546MaRDI QIDQ4632670

Peter D. Grünwald, Steven de Rooij, Tim van Erven

Publication date: 30 April 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2011.01025.x

zbMATH Keywords

model selectionadaptive estimationAICBICBayesian model averagingrisk convergence

Mathematics Subject Classification ID

Bayesian inference (62F15) Robustness and adaptive procedures (parametric inference) (62F35) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Statistical aspects of information-theoretic topics (62B10) Sequential estimation (62L12)

Related Items (12)

Harold Jeffreys's default Bayes factor hypothesis tests: explanation, extension, and application in psychology ⋮ Testing un-separated hypotheses by estimating a distance ⋮ Statistical Problem Classes and Their Links to Information Theory ⋮ A tutorial on Fisher information ⋮ On consistency for time series model selection ⋮ The no-free-lunch theorems of supervised learning ⋮ A tutorial on adaptive design optimization ⋮ On model selection from a finite family of possibly misspecified time series models ⋮ Cross-validation for selecting a model selection procedure ⋮ Testing randomness online ⋮ Minimum description length revisited ⋮ Linear estimating equations for exponential families with application to Gaussian linear concentration models

Cites Work

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

This page was built for publication: Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma