Journal
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
Volume 99, Issue 465, Pages 279-290Publisher
AMER STATISTICAL ASSOC
DOI: 10.1198/016214504000000269
Keywords
AIC; Bayes factors; BIC; Mallow's C-p; model averaging; subset selection; variable selection
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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 the question of model selection 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.
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