Research Seminar
Model selection by minimising average riskGerda ClaeskensORSTAT, ETEW, KU Leuven | |
| Abstract: | Most model selection mechanisms work in an 'overall' modus, providing models without specific concern for how the selected model is going to be used afterwards. The focussed information criterion (FIC), on the other hand, is geared towards optimum model selection when inference is required for a given estimand. In this talk the motivation and construction of the FIC is explained and discussed, as well as an extension of the FIC method to weighted versions. This allows one to rank and select candidate models for the purpose of handling a range of similar tasks well, as opposed to being forced to focus on each task separately. Applications include selecting regression models that perform well for specified regions of covariate values. |
| Date: | Tue Apr 17, 12:15 pm - 1:15 pm |
| Place: | room 00.60 (Department of Psychology, Tiensestraat 102, 3000 Leuven) |