The Living Thing / Notebooks :

Model averaging

On keeping many incorrect hypotheses and using them all as one goodish one

A mere placeholder to remind me to create a model averaging notebook, since I’ve seen the idea pop up in disconnected areas recently, specifically a Bayesian heuristic for dropout in neural nets, AIC for frequentist model averaging, and in a statistical learning context for optimal time series prediction.

Relationship to Bayesian posterior distributions?

This seems to not be quite the same thing as bagging - or is it?

Model weights are often in terms of degrees-of-freedom penalties. It would probably be an instructive exercise for me to work out why for myself.

Refs

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Claeskens, G., & Hjort, N. L.(2008) Model selection and model averaging. . Cambridge ; New York: Cambridge University Press
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Clyde, M., & George, E. I.(2004) Model Uncertainty. Statistical Science, 19(1), 81–94. DOI.
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Fragoso, T. M., & Neto, F. L.(2015) Bayesian model averaging: A systematic review and conceptual classification. ArXiv:1509.08864 [Stat].
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