Computer Science Department, University Of Waikato
Computer Science Seminar Room
We present a general modeling 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.