An Application of Multiple Comparison Techniques to Model Selection
Annals of the Institute of Statistical MathematicsPublished 1 March 1998
Hidetoshi Shimodaira
Citations68
SJR quartileQ2
SJR score0.60
SNIP0.84
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TL;DR
Considering the sampling error of AIC, a set of good models is constructed rather than choosing a single model, called a confidence set of models, which includes the minimum ε{AIC} model at an error rate smaller than the specified significance level.
Abstract
Akaike's information criterion, model selection, confidence set, multiple comparison with the best, Gupta's subset selection, variable selection, multiple regression, bootstrap resampling,
Keywords
MathematicsEngineering
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