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Abstract Details
Activity Number:
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10
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Type:
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Invited
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Date/Time:
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Sunday, July 31, 2011 : 2:00 PM to 3:50 PM
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Sponsor:
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Council of Chapters
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Abstract - #300158 |
Title:
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Dynamic Model Averaging in the Context of Prequential Prediction
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Author(s):
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Jennifer Clarke*+ and Chi Wai Yu and Bertrand Salem Clarke
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Companies:
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University of Miami and Hong Kong University of Science and Technology and University of Miami
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Address:
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1120 NW 14th St, Suite 1051, Miami, FL, 33136, USA
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Keywords:
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model averaging ;
prediction ;
prequential ;
median loss ;
regression
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Abstract:
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Many regression problems involving complex or high dimensional data are not amenable to conventional modeling because the uncertainty associated with the use of any single model is too high to permit reliable inferences. We investigate the effect of using the median of the loss function as an optimality criterion in the context of model averaging. We consider median loss in a prequential context and offer an extension of the median prediction technique of Berger and Barbieri (2004) that emphasizes the role of the model list used to form predictions. We will present examples of our method and comparisons to a variety of model averaging techniques via their predictive performance (broadly defined) to identify settings where one technique outperforms another.
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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