Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma
通过更早切换加快追赶：自适应估计与 AIC–BIC 困境
Summary Prediction and estimation based on Bayesian model selection and model averaging, and derived methods such as the Bayesian information criterion BIC, do not always converge at the fastest possible rate. We identify the catch-up phenomenon as a novel explanation for the slow convergence of Bayesian methods, which inspires a modification of the Bayesian predictive distribution, called the switch distribution. When used as an adaptive estimator, the switch distribution…