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Activity Number: 494
Type: Invited
Date/Time: Wednesday, August 5, 2009 : 2:00 PM to 3:50 PM
Sponsor: IMS
Abstract - #302800
Title: Instability Measures and Model Averaging
Author(s): Dennis D. Boos*+ and Leonard A. Stefanski
Companies: North Carolina State University and North Carolina State University
Address: Campus Box 8203, Raleigh, NC, 27695-8203,
Keywords: Bagging ; Model Selection ; Regression
Abstract:

Model averaging in regression has been shown to improve prediction performance for a variety of variable selection procedures. Thus Yuan and Yang (2005, JASA) introduced a measure of instability for linear regression models that can diagnose when model averaging is likely to improve prediction. Their Perturbation Instability in Estimation (PIE) measure is based on adding noise to the response variable. We extend their underlying idea to more general approaches for reducing information in the data and define new types of instability measures that can be used in most standard regression models.

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