STAT 295, 4/23/09

Bill talked about Bayesian model selection on Thursday. I mentioned that there are frequentist versions of model selection. A very readable exposition of the topic is given in the book “model selection and multimodel inference” by burnham and Anderson. The book is a classic among wildlife biologists.

I also mentioned that the text used for our 251/261 sequence, “statistical inference” by casella and berger, has a very readable account of the likelihood, sufficiency and ancillary principles and Birnbaum’s theorem. But then again, you have to consider whether you should always live by principles!

Here are links to two papers that explore the difficulties of calculating marginal likelihoods. They came from the 2006 Statistical Challenges in Modern Astronomy conference at Penn State University. Paper 1; Paper 2.

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