Department of Statistics Unitmark
Dietrich College of Humanities and Social Sciences

Methods and Criteria for Model Selection

Publication Date

December, 2001

Publication Type

Tech Report

Author(s)

Joseph B. Kadane and Nicole A. Lazar

Abstract

Model selection is an important part of any statistical analysis, and indeed is central to the pursuit of science in general. Many authors have examined this question, from both frequentist and Bayesian perspectives, and many tools for selecting the "best model" have been suggested in the literature. This paper considers the various proposals from a Bayesian decision-theoretic perspective.

(Revised 08/03)