Model Selection and Model Averaging pdf epub mobi txt 電子書下載2025

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出版者:Cambridge University Press

作者:Gerda Claeskens

出品人:

頁數:332

译者:

出版時間:2008-10-9

價格:GBP 64.99

裝幀:Hardcover

isbn號碼:9780521852258

叢書系列:Cambridge Series in Statistical and Probabilistic Mathematics

圖書標籤:

model-selection
數據分析
數學
econometrics

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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.