Date: 17 MAY 2018 at 11:30
Event location: Room III, 2nd floor, Department of Statistical Science, Via Belle Arti 41, Bologna
Type: Statistics Seminars
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.