A MODEL SELECTION APPROACH IN STATISTICAL MODELING

Mentes T.

HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS, cilt.39, sa.1, ss.131-135, 2010 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 39 Sayı: 1
  • Basım Tarihi: 2010
  • Dergi Adı: HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.131-135
  • Hacettepe Üniversitesi Adresli: Evet

Özet

It is argued that quantitative results from statistical surveys and experiments should be communicated as inferences of the model maximising the log Bayes factor against a reference model penalised by a subjectively chosen constant times the difference in model complexity. Model complexity is measured by the degrees of freedom. In this study, an efficient algorithm is proposed to select a model from among a large set of models with unit penalties in some interval. The algorithm utilizes the penalised log Bayes factor with only the likelihood ratio statistic, model dimensions and a constant. This approach seems to be a more realistic screening device than related criteria similar to the Bayesian information criterion.