Almost the best of three worlds: Risk, consistency and optional stopping for the switch criterion in nested model selection
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DOI: 10.5705/ss.202016.0011
Abstract: We study the switch distribution, introduced by van Erven, Grunwald and De Rooij (2012), applied to model selection and subsequent estimation. While switching was known to be strongly consistent, here we show that it achieves… read more here.
Keywords: switch criterion; model; model selection; optional stopping ... See more keywords