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  1. Home
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  3. Model Selection and Model Averaging
  • Cited by 538
Publisher:
Cambridge University Press
Online publication date:
September 2012
Print publication year:
2008
Online ISBN:
9780511790485
DOI:
https://doi.org/10.1017/CBO9780511790485
Subjects:
Economics, Econometrics and Mathematical Methods, General Statistics and Probability, Statistical Theory and Methods, Statistics and Probability
Series:
Cambridge Series in Statistical and Probabilistic Mathematics (27)
Information

Book description

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.

Reviews

'This is a good textbook for a master-level statistical course about model selection.'

Source: Mathematical Reviews

'… given the inviting style of the presentation and the quality of the material, this book could be quite a catch for graduate students as well as for practitioners where models really do make [a] difference.'

Source: MAA Reviews

'… the authors have succeeded in bringing together a coherent volume, which gives a state of the art account of the current practice in model selection and comparison, containing a plethora of asymptotic (sometimes new) results, which can be used to compare different model choice criteria. Most importantly, this is the sole volume dedicated to this subject, taking a fully statistical as opposed to an information theoretic approach to the topic of model selection.'

Source: Statistics in Society

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