Corpus ID: 42757727

Model Selection and Multiple Testing - A Bayesian and Empirical Bayes Overview and some New Results

@article{Dutta2015ModelSA,
  title={Model Selection and Multiple Testing - A Bayesian and Empirical Bayes Overview and some New Results},
  author={Ritabrata Dutta and M. Bogdan and J. Ghosh},
  journal={arXiv: Statistics Theory},
  year={2015}
}
We provide a brief overview of both Bayes and classical model selection. We argue tentatively that model selection has at least two major goals, that of finding the correct model or predicting well, and that in general both these goals may not be achieved in an optimum manner by a single model selection rule. We discuss, briefly but critically, through a study of well-known model selection rules like AIC, BIC, DIC and Lasso, how these different goals are pursued in each paradigm. We introduce… Expand
12 Citations

Tables from this paper

Paper Mentions

Bayes factor consistency
  • 16
  • PDF
Comparison between different methods of model selection in cosmology
  • Highly Influenced
  • PDF
Likelihood-free inference by ratio estimation
  • 59
  • PDF
Factorized Estimation of Partially Shared Parameters in Diffusion Networks
  • 3
Analysing datafied life
  • 1
...
1
2
...

References

SHOWING 1-10 OF 112 REFERENCES
AIC, BIC and Recent Advances in Model Selection
  • 29
Calibration results for Bayesian model specication
  • 10
  • Highly Influential
  • PDF
On Model Selection Consistency of Lasso
  • 2,218
  • PDF
Bayes and empirical-Bayes multiplicity adjustment in the variable-selection problem
  • 461
  • Highly Influential
  • PDF
The Bayes oracle and asymptotic optimality of multiple testing procedures under sparsity
  • 7
  • Highly Influential
On the Empirical Bayes approach to the problem of multiple testing
  • 14
...
1
2
3
4
5
...