Predictive Model Selection
- 1 January 1995
- journal article
- research article
- Published by Oxford University Press (OUP) in Journal of the Royal Statistical Society Series B: Statistical Methodology
- Vol. 57 (1) , 247-262
- https://doi.org/10.1111/j.2517-6161.1995.tb02028.x
Abstract
SUMMARY: We consider the problem of selecting one model from a large class of plausible models. A predictive Bayesian viewpoint is advocated to avoid the specification of prior probabilities for the candidate models and the detailed interpretation of the parameters in each model. Using criteria derived from a certain predictive density and a prior specification that emphasizes the observables, we implement the proposed methodology for three common problems arising in normal linear models: variable subset selection, selection of a transformation of predictor variables and estimation of a parametric variance function. Interpretation of the relative magnitudes of the criterion values for various models is facilitated by a calibration of the criteria. Relationships between the proposed criteria and other well-known criteria are examined.This publication has 22 references indexed in Scilit:
- The influence of variables in a logistic modelBiometrika, 1991
- Local Model InfluenceJournal of the American Statistical Association, 1989
- Bayesian Variable Selection in Linear RegressionJournal of the American Statistical Association, 1988
- Dispersion Effects From Fractional DesignsTechnometrics, 1986
- A Predictive View of the Detection and Characterization of Influential Observations in Regression AnalysisJournal of the American Statistical Association, 1983
- A Predictive Approach to Model SelectionJournal of the American Statistical Association, 1979
- Estimating the Dimension of a ModelThe Annals of Statistics, 1978
- A Biometrics Invited Paper. The Analysis and Selection of Variables in Linear RegressionPublished by JSTOR ,1976
- Goodness of prediction fitBiometrika, 1975
- Transformation of the Independent VariablesTechnometrics, 1962