Model Selection and Model Averaging

First book to synthesize the research and practice from the active field of model selection.

Gerda Claeskens (Author), Nils Lid Hjort (Author)

9780521852258, Cambridge University Press

Hardback, published 28 July 2008

332 pages, 46 b/w illus. 35 tables 65 exercises
26 x 18.2 x 2.6 cm, 0.87 kg

'… 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.' Statistics in Society

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.

Subject Areas: Probability & statistics [PBT]