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Model selection and model averaging

Author: Gerda Claeskens; Nils Lid Hjort
Publisher: Cambridge ; New York : Cambridge University Press, 2008.
Series: Cambridge series on statistical and probabilistic mathematics.
Edition/Format:   Print book : EnglishView all editions and formats
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 suitable model is central to all statistical work with data. Selecting the variables for use in a regression model is one important example. The past two decades have seen rapid  Read more...
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Gerda Claeskens; Nils Lid Hjort
ISBN: 9780521852258 0521852250
OCLC Number: 199455609
Description: xvii, 312 pages : illustrations ; 26 cm.
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.
Series Title: Cambridge series on statistical and probabilistic mathematics.
Responsibility: Gerda Claeskens, Nils Lid Hjort.
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Abstract:

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

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'This is a good textbook for a master-level statistical course about model selection.' Mathematical Reviews '... given the inviting style of the presentation and the quality of the material, this Read more...

 
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