Bias-variance trade-off for prequential model list selection

DOI10.1007/S00362-009-0289-6zbMATH Open1229.62072OpenAlexW1994522454MaRDI QIDQ657069FDOQ657069

Authors: 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

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zbMATH Keywords

online predictionBayes model averagingmodel list selection

Mathematics Subject Classification ID

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

Cites Work

• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Atomic Decomposition by Basis Pursuit
• Optimal predictive model selection.
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• Bayesian Model Averaging for Linear Regression Models
• Bayes Factors
• Frequentist Model Average Estimators
• Time-frequency localization operators: a geometric phase space approach
• Introducing model uncertainty by moving blocks bootstrap
• Decomposing posterior variance
• Atomic decomposition by basis pursuit
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Variable Selection Problem
• Prequential probability: principles and properties
• Choosing the link function and accounting for link uncertainty in generalized linear models using Bayes factors
• Prediction of response values in linear regression models from replicated experiments
• An averaging approach to prediction

Cited In (3)

• Using stacking to average Bayesian predictive distributions (with discussion)
• Title not available (Why is that?)
• Prequential omnibus goodness-of-fit tests for stochastic processes: A numerical study

Uses Software

• PDCO

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