Open Access
VOL. 3 | 2008 Risk and resampling under model uncertainty
Snigdhansu Chatterjee, Nitai D. Mukhopadhyay

Editor(s) Bertrand Clarke, Subhashis Ghosal

Inst. Math. Stat. (IMS) Collect., 2008: 155-169 (2008) DOI: 10.1214/074921708000000129


In statistical exercises where there are several candidate models, the traditional approach is to select one model using some data driven criterion and use that model for estimation, testing and other purposes, ignoring the variability of the model selection process. We discuss some problems associated with this approach. An alternative scheme is to use a model-averaged estimator, that is, a weighted average of estimators obtained under different models, as an estimator of a parameter. We show that the risk associated with a Bayesian model-averaged estimator is bounded as a function of the sample size, when parameter values are fixed. We establish conditions which ensure that a model-averaged estimator’s distribution can be consistently approximated using the bootstrap. A new, data-adaptive, model averaging scheme is proposed that balances efficiency of estimation without compromising applicability of the bootstrap. This paper illustrates that certain desirable risk and resampling properties of model-averaged estimators are obtainable when parameters are fixed but unknown; this complements several studies on minimaxity and other properties of post-model-selected and model-averaged estimators, where parameters are allowed to vary.


Published: 1 January 2008
First available in Project Euclid: 28 April 2008

MathSciNet: MR2459223

Digital Object Identifier: 10.1214/074921708000000129

Primary: 60F12
Secondary: 60J05 , 62C10 , 62F40

Keywords: bootstrap , bounded risk , Linear regression , model averaging , Model selection

Rights: Copyright © 2008, Institute of Mathematical Statistics

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