Massimiliano Marinucci

Automatic Prediction and Model Selection: Practical Approaches and Empirical Applications Massimiliano Marinucci

The literature on prediction and model selection is highly interdisciplinary and interest in this field is fast growing. In this work, the author reviews some recent methodological developments which may be useful in situations where nothing, or little, is known about the process that generated the data. Special attention is devoted to flexible modeling algorithms, which combine linear and non-linear functional forms, balancing between complexity and good approximation properties to the unknown data generating process.