Improving Predictions by Combining Models

Stochastics Seminar
Thursday, March 28, 2024 - 3:30pm for 1 hour (actually 50 minutes)
Skiles 006
Jason Klusowski – Princeton University
Cheng Mao

When performing regression analysis, researchers often face the challenge of selecting the best single model from a range of possibilities. Traditionally, this selection is based on criteria evaluating model goodness-of-fit and complexity, such as Akaike's AIC and Schwartz's BIC, or on the model's performance in predicting new data, assessed through cross-validation techniques. In this talk, I will show that a linear combination of a large number of these possible models can have better predictive accuracy than the best single model among them. Algorithms and theoretical guarantees will be discussed, which involve interesting connections to constrained optimization and shrinkage in statistics.