Friday 16th February 3.15 p.m. Room 5326, JCMB
PROF. PAUL GARTHWAITE, Department of Statistics,
Open University
Selection of weights for weighted model averaging.
Suppose a quantity is to be predicted and various models could be used.
The approach in model selection is to use just the prediction of the
model that appears to be best. An alternative is to form a weighted
average of the predictions given by the different models. But what
weights should be given to the different models? Should the weight given
to a model be reduced if it is very similar to another model? What if
two models are virtually identical – should they each be given half the
weight that they would otherwise receive?
This talk considers methods of assigning weights on the basis of the
correlation structure between models. Different weighting strategies are
proposed and desirable properties in a weighting scheme are suggested.
Simulation is used to compare the weighting schemes in situations where
optimal weights can be determined.
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Professor Colin Aitken,
Professor of Forensic Statistics,
School of Mathematics, King’s Buildings, University of Edinburgh,
Mayfield Road, Edinburgh, EH9 3JZ.
Tel: 0131 650 4877
E-mail: [log in to unmask]
Fax : 0131 650 6553
http://www.maths.ed.ac.uk/~cgga
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