Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Almost the Best of Three Worlds: Risk, Consistency and Optional Stopping
  for the Switch Criterion in Nested Model Selection   We study the switch distribution, introduced by Van Erven et al. (2012),
applied to model selection and subsequent estimation. While switching was known
to be strongly consistent, here we show that it achieves minimax optimal
parametric risk rates up to a $\log\log n$ factor when comparing two nested
exponential families, partially confirming a conjecture by Lauritzen (2012) and
Cavanaugh (2012) that switching behaves asymptotically like the Hannan-Quinn
criterion. Moreover, like Bayes factor model selection but unlike standard
significance testing, when one of the models represents a simple hypothesis,
the switch criterion defines a robust null hypothesis test, meaning that its
Type-I error probability can be bounded irrespective of the stopping rule.
Hence, switching is consistent, insensitive to optional stopping and almost
minimax risk optimal, showing that, Yang's (2005) impossibility result
notwithstanding, it is possible to `almost' combine the strengths of AIC and
Bayes factor model selection.

22
The categories of this paper are: chao-dyn
30
The categories of this paper are: q-alg
8
The categories of this paper are: hep-ex
0
The categories of this paper are: hep-ph
23
The categories of this paper are: solv-int
27
The categories of this paper are: comp-gas
24
The categories of this paper are: dg-ga
25
The categories of this paper are: patt-sol
33
The categories of this paper are: plasm-ph
7
The categories of this paper are: hep-th
35
The categories of this paper are: mtrl-th
6
The categories of this paper are: astro-ph
15
The categories of this paper are: nucl-ex
12
The categories of this paper are: nucl-th
29
The categories of this paper are: funct-an
32
The categories of this paper are: atom-ph