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Publication
ISIT 1998
Conference paper
Prequential and cross-validated mixture regression estimation
Abstract
Prequential model selection and cross-validation are data-driven methodologies for selecting a single «best» model from a collection of competing models. In contrast, we propose prequential and cross-validated mixtures which are suitably weighted combinations of all the rival models under consideration. We empirically study prequential and cross-validated mixtures (both based on neural networks) for regression estimation. © 1998 IEEE.