Model selection and model averaging / Gerda Claeskens, Nils Lid Hjort.

Format:

Book

Author/Creator:

Claeskens, Gerda, 1973- author.

Hjort, Nils Lid, author.

Series:

Cambridge series on statistical and probabilistic mathematics ; 27.

Cambridge series on statistical and probabilistic mathematics ; 27

Language:

English

Subjects (All):

Mathematical models--Research.

Mathematical models.

Mathematical statistics--Research.

Mathematical statistics.

Bayesian statistical decision theory.

Physical Description:

1 online resource (xvii, 312 pages) : digital, PDF file(s).

Other Title:

Model Selection & Model Averaging

Place of Publication:

Cambridge : Cambridge University Press, 2008.

Language Note:

English

Summary:

Given a data set, you can fit thousands of models at the push of a button, but how do you choose the best? With so many candidate models, overfitting is a real danger. Is the monkey who typed Hamlet actually a good writer? Choosing a model is central to all statistical work with data. We have seen rapid advances in model fitting and in the theoretical understanding of model selection, yet this book is the first to synthesize research and practice from this active field. Model choice criteria are explained, discussed and compared, including the AIC, BIC, DIC and FIC. The uncertainties involved with model selection are tackled, with discussions of frequentist and Bayesian methods; model averaging schemes are presented. Real-data examples are complemented by derivations providing deeper insight into the methodology, and instructive exercises build familiarity with the methods. The companion website features Data sets and R code.

Contents:

Model selection : data examples and introduction

Akaike's information criterion

The Bayesian information criterion

A comparison of some selection methods

Bigger is not always better

The focussed information criterion

Frequentist and Bayesian model averaging

Lack-of-fit and goodness-of-fit tests

Model selection and averaging schemes in action.

Notes:

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

Includes bibliographical references and indexes.

ISBN:

1-107-17620-4

1-281-79118-0

9786611791186

0-511-79048-1

0-511-42362-4

0-511-42243-1

0-511-42410-8

0-511-42177-X

0-511-42309-8

OCLC:

476178291