The purpose of statistical model selection is to identify a parsimonious model, which is a model that is as simple as possible while maintaining good predictive ability over the outcome of interest.

Suppose we observe samples of a subset of a collection of random variables. No additional information is provided about the number of latent variables, nor of the relationship between the latent and ...

In objective Bayesian model selection, no single criterion has emerged as dominant in defining objective prior distributions. Indeed, many criteria have been separately proposed and utilized to ...

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...