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Prequential Statistics

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Prequential is a portmanteau word for predictive sequential – abroad statistical methodology founded on a view of data (like Mark Twain’s view of history) as “just one darned thing after another”. A variety of statistical methods might be applied to learn projectible regularities in a data-sequence so as to improve forecasting; prequential analysis assesses how well this has been done by contrasting one-step ahead forecasts with realised outcomes. Many fundamental statistical concepts, such as consistency or efficiency, as well as techniques such as model selection, can be fruitfully redefined within this framework. This talk will outline the basic theory and some of its properties and applications.

This talk is part of the Statistics series.

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