JSM 2005 Online Program

Abstract #302377

This is the preliminary program for the 2005 Joint Statistical Meetings in Minneapolis, Minnesota. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2005); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

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Activity Number:	114
Type:	Invited
Date/Time:	Monday, August 8, 2005 : 10:30 AM to 12:20 PM
Sponsor:	IMS
Abstract - #302377
Title:	Model List Selection for Prediction
Author(s):	Bertrand Clarke*+
Companies:	University of British Columbia
Address:	6356 Agricultural Road, Room 333, Vancouver, BC, V6T 1Z2, CANADA
Keywords:
Abstract:	The goal of this paper was to compare the properties of several techniques for model averaging, model list selection, and model list updating for sequential prediction. To do this, we presented a series of simulation results using two forms of model averaging. One form has weights based on crossvalidation (stacking); the other has weights based on posterior model probabilities. The models in the averages are drawn from a variety of model lists based on basis expansions; model lists may be updated at certain steps by adding or removing models or terms in the models, depending on out-of-sample predictive errors. The model averages give predictions for the next outcome in a sequence. Overall performances of predictors are evaluated under a cumulative error criterion. Results of the simulation will be discussed.

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