• Corpus ID: 14181215

Reconciling Model Selection and Prediction

@article{Casella2009ReconcilingMS,
  title={Reconciling Model Selection and Prediction},
  author={George Casella and Guido Consonni},
  journal={arXiv: Statistics Theory},
  year={2009}
}
It is known that there is a dichotomy in the performance of model selectors. Those that are consistent (having the "oracle property") do not achieve the asymptotic minimax rate for prediction error. We look at this phenomenon closely, and argue that the set of parameters on which this dichotomy occurs is extreme, even pathological, and should not be considered when evaluating model selectors. We characterize this set, and show that, when such parameters are dismissed from consideration… 
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