Model Selection and Model Averaging (Cambridge Series in Statistical and Probabilistic Mathematics, Series Number 27)

Claeskens, Gerda,Hjort, Nils Lid

ISBN 10: 0521852250 / ISBN 13: 9780521852258

Published by Cambridge University Press, 2008

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Synopsis:

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.

About the Authors: Gerda Claeskens is Professor in the OR and Business Statistics and Leuven Statistics Research Center at the Catholic University of Leuven, Belgium.

Nils Lid Hjort is Professor of Mathematical Statistics in the Department of Mathematics at the University of Oslo.

Bibliographic Details

Title: Model Selection and Model Averaging (...
Publisher: Cambridge University Press
Publication Date: 2008
Binding: hardcover
Condition: Good