Information Theory and Mixing Least-Squares Regressions
Information Theory and Mixing Least-Squares Regressions
Gilbert Leung,A. Barron
2006 · DOI: 10.1109/TIT.2006.878172
IEEE Transactions on Information Theory · 271 citaten
TLDR
An unbiased estimator of the risk of the mixture of general estimators is developed and the performance of these mixture estimator is better than that of a related model-selection estimator which picks a model with the highest weight.