Statistics seminar 2018: Model averaging and weighted-average least squares

  • Data: 17 maggio 2018 dalle 11:30 alle 13:30

  • Luogo: Dipartimento di Scienze Statistiche - Via Belle Arti 41 - Aula III

Jan Magnus
Free University of Amsterdam

Model averaging has become a popular method of estimation, following increasing evidence that model selection and estimation should be treated as one joint procedure. Weighted-average least squares (WALS) is a recent model-average approach, which takes an intermediate position between frequentist and Bayesian methods, allows a credible treatment of ignorance, and is extremely fast to compute. We review the theory of WALS and discuss extensions and applications.

Alessandra Luati

Torna su