Bias-variance trade-off for prequential model list selection

DOI10.1007/s00362-009-0289-6zbMath1229.62072MaRDI QIDQ657069

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 prediction; Bayes model averaging; model list selection

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J05: Linear regression; mixed models

62F15: Bayesian inference

62L12: Sequential estimation

Related Items

Using stacking to average Bayesian predictive distributions (with discussion)

Uses Software

• PDCO

Cites Work

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