Model Selection and Model Averaging: 27 (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 27)
Cambridge University Press
Edition: Illustrated, 10/9/2008
EAN 9780521852258, ISBN10: 0521852250
Hardcover, 332 pages, 25.9 x 18.3 x 2.5 cm
Language: English
Originally published in English
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.
Preface
A guide to notation
1. Model selection
data examples and introduction
2. Akaike's information criterion
3. The Bayesian information criterion
4. A comparison of some selection methods
5. Bigger is not always better
6. The focussed information criterion
7. Frequentist and Bayesian model averaging
8. Lack-of-fit and goodness-of-fit tests
9. Model selection and averaging schemes in action
10. Further topics
Overview of data examples
Bibliography
Author index
Subject index.
'This is a good textbook for a master-level statistical course about model selection.' Mathematical Reviews