Bias-variance trade-off for prequential model list selection

The prequential approach to statistics leads naturally to model list selection because the sequential reformulation of the problem is a guided search over model lists drawn from a model space. That is, continually updating the action space of a decision problem to achieve optimal prediction forces t...

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Bibliographic Details
Published in:	Statistical papers (Berlin, Germany) Vol. 52; no. 4; pp. 813 - 833
Main Authors:	Fokoue, Ernest, Clarke, Bertrand
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer-Verlag 01.11.2011 Springer Nature B.V
Subjects:	Approximation Bayesian analysis Bias Economic Theory/Quantitative Economics/Mathematical Methods Economics Finance Generators Insurance Lists Management Mathematical analysis Mathematical models Mathematics and Statistics Operations Research/Decision Theory Predictions Probability Theory and Stochastic Processes Regular Article Searching Statistics Statistics for Business Studies Variance Model list selection Model selection Online prediction Bias-variance trade-off Bayes model averaging Prequential
ISSN:	0932-5026, 1613-9798
Online Access:	Get full text
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