Modeling for Optimal Probability Prediction
Yong Wang, Ian H. Witten · Research Commons (University of Waikato) · 2002
We present a general modelling method for optimal probability prediction over future observations, in which model dimensionality is determined as a natural by-product. This new method yields several estimators, and we establish theoretically that they are optimal (either overall or under stated restrictions) when the number of free parameters is infinite. As a case study, we investigate the problem of fitting logistic models in finite-sample situations. Simulation results on both artificial and practical datasets are supportive.