ENGLISH

Model Selection and Model Averaging

By Gerda Claeskens , Nils Lid Hjort

Book information

Publisher
Cambridge University Press
Year
2008
ISBN
0521852250, 9780521852258, 9780511424106
LCC
QA276.18 .C53 2008
Open Library ID
OL16523172M
Language
english
Format
PDF
Filesize
3 MB (2822121 bytes)
Series
Cambridge Series in Statistical and Probabilistic Mathematics
Edition
1
Pages
320\332
Scanned
yes
Time added
2011-04-20 14:05:05

Description

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 frequent 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.

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