A generalized predictive criterion for model selection

DOI10.2307/3315866MaRDI QIDQ3148213zbMATH OpenOpenAlexFDO

Authors Mario Trottini, Fulvio Spezzaferri

Publication date 30 September 2002

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3315866

zbMATH Keywords

model selection\(\alpha\)-divergencesLoss function

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Foundations and philosophical topics in statistics (62A01)

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Cites work

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• A Generalized Bayes Rule for Prediction
• A Predictive Approach to Model Selection
• Alternative Bayes factors for model selection
• Asymptotic behavior of Bayes estimates under possibly incorrect models
• Bayesian assessment of goodness of fit against nonparametric alternatives
• Estimating the dimension of a model
• Expected information as ecpected utility
• Model choice: a minimum posterior predictive loss approach
• Sensitivity of the fractional Bayes factor to prior distributions
• The Intrinsic Bayes Factor for Model Selection and Prediction

Cited in

(10)

• A survey of Bayesian predictive methods for model assessment, selection and comparison
• Bayesian Model Selection: Measuring the χ²Discrepancy with the Uniform Distribution
• Prior Density Selection as a Particular Case of Bayesian Model Selection: A Predictive Approach
• The weighted likelihood
• Bayesian model selection: a predictive approach with losses based on distances \(L^1\) and \(L^2\)
• Convergence of estimative density: criterion for model complexity and sample size
• Derivation of mixture distributions and weighted likelihood function as minimizers of KL-divergence subject to constraints
• Likelihood-based discrimination between separate scale and regression models
• Selection rules based on divergences
• A criterion for local model selection

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