Aug 19th, 2007| 11:35 pm | Posted by hlee
One of the most frequently cited papers in model selection would be An Asymptotic Equivalence of Choice of Model by Cross-Validation and Akaike’s Criterion by M. Stone, Journal of the Royal Statistical Society. Series B (Methodological), Vol. 39, No. 1 (1977), pp. 44-47.
(Akaike’s 1974 paper, introducing Akaike Information Criterion (AIC), is the most often cited paper in the subject of model selection).
Continue reading ‘Cross-validation for model selection’ »
Tags:
AIC,
Cash statistics,
cross-validation,
exponential family,
Fisher information,
maximum likelihood,
Model Selection,
resampling,
score,
TIC Category:
Algorithms,
arXiv,
Frequentist,
Methods,
Stat |
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Aug 16th, 2007| 04:36 pm | Posted by hlee
I’ve been heard so much, without knowing fundamental reasons (most likely physics), about coverage problems from astrostat/phystat groups. This paper might be an interest for those: Interval Estimation in Exponential Families by Brown, Cai,and DasGupta ; Statistica Sinica (2003), 13, pp. 19-49
Abstract summary:
The authors investigated issues in interval estimation of the mean in the exponential family, such as binomial, Poisson, negative binomial, normal, gamma, and a sixth distribution. The poor performance of the Wald interval has been known not only for discrete cases but for nonnormal continuous cases with significant negative bias. Their computation suggested that the equal tailed Jeffreys interval and the likelihood ratio interval are the best alternatives to the Wald interval. Continue reading ‘Coverage issues in exponential families’ »
Tags:
bias,
binomial,
coverage,
Edgeworth expansion,
exponential family,
gamma,
Gehrels,
interval,
Jeffreys,
likelihood ratio,
negative binomial,
normal,
Poisson,
Rao score,
Wald Category:
arXiv,
Stat,
Uncertainty |
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