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Intro to Model Selection

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Introduction to Statistical Model Selection Huimin Chen Department of Electrical Engineering University of New Orleans New Orleans, LA 70148
Typical Problem ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Modeling and Model Selection ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Outline of This Talk ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Regression Model ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Empirical Risk Functional ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
How to measure the model complexity with finite data? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Predictive Risk ,[object Object],[object Object],[object Object],[object Object],[object Object]
Predictive Risk (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Predictive Risk (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object]
Predictive Risk (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Bayesian Model Selection ,[object Object],[object Object],[object Object],[object Object],[object Object]
Bayesian Model Selection (Cont’d) ,[object Object],[object Object],[object Object]
Bayesian Model Selection (Cont’d) ,[object Object],[object Object],Define so that Use quadratic approximation Log-likelihood ≈ −
Bayesian Model Selection (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Information Theoretic Measures ,[object Object],[object Object],[object Object],[object Object]
Information Theoretic Measures (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Information Theoretic Measures (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
MDL Principle ,[object Object],[object Object],[object Object]
MDL Principle (Cont’d) ,[object Object],[object Object]
MDL Principle (Cont’d) ,[object Object],[object Object],[object Object]
MDL Principle (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
MDL Principle (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
MDL Principle (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
MDL Principle (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object]
MDL Principle (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
MDL Principle (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Statistical Regularization ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Statistical Regularization (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object]
Adaptive Methods ,[object Object],[object Object],[object Object],[object Object],[object Object]
Adaptive Methods (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
From model selection to model evaluation ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
From model selection to model evaluation (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Summary ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Future Research Directions ,[object Object],[object Object],[object Object],[object Object]
Further Readings ,[object Object],[object Object],[object Object],[object Object],[object Object]

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Intro to Model Selection

  • 1. Introduction to Statistical Model Selection Huimin Chen Department of Electrical Engineering University of New Orleans New Orleans, LA 70148
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