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On Model Selection Curves

Muller, Samuel; Welsh, Alan


Many popular methods of model selection involve minimizing a penalized function of the data (such as the maximized log-likelihood or the residual sumof squares) over a set of models.The penalty in the criterion function is controlled by a penaltymultiplier λ which determines the properties of the procedure. In this paper, we first review model selection criteria of the simple form " Loss+Penalty" and then propose studying such model selection criteria as functions of the penalty multiplier....[Show more]

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
Source: International Statistical Review
DOI: 10.1111/j.1751-5823.2010.00108.x


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