Bias-variance trade-off for prequential model list selection

DOI10.1007/S00362-009-0289-6MaRDI QIDQ657069zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3597760 (Why is no real title available?)
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• Decomposing posterior variance
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• Introducing model uncertainty by moving blocks bootstrap
• Optimal predictive model selection.
• Prediction of response values in linear regression models from replicated experiments
• Prequential probability: principles and properties
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• The Variable Selection Problem
• Time-frequency localization operators: a geometric phase space approach

Cited in

(3)

• Using stacking to average Bayesian predictive distributions (with discussion)
• Prequential omnibus goodness-of-fit tests for stochastic processes: A numerical study
• scientific article; zbMATH DE number 7625186 (Why is no real title available?)

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Uses Software

• PDCO

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