> You spoke of more sophisticated methods of automatically choosing between
> models, what kind of methods did you have in mind?
Here's a list I gathered some time ago. Many of them are just buzzwords form me!
‧ Adjusted R-squared (Wherry 1931)
‧ Bootstrap (Efron 1979)
‧ Cross-validation (Stone 1974; Geisser 1975)
– Generalized cross-validation (GCV) (Craven and Wahba 1979)
– k-fold cross-validation
– Leave-one-out cross-validation
‧ Jacknife
‧ Linear regression
‧ Shibata's model selector (sms) (Shibata 1981)
‧ Signal-to-noise ratio
‧ Test set validation
‧ Akaike information criterion (AIC)
– AIC (Akaike 1973)
– AICc (Hurvich and Tsai 1989)
– QAIC (Lebreton, et al. 1992)
– QAICc (Lebreton, et al. 1992)
– AICW (Wilks 1995)
‧ CAT (Parzen 1974, 1977)
‧ CP (Mallow's Cp) (Mallows 1973)
‧ Deviance information criterion (DIC) (Spiegelhalter, et al. 2002)
‧ FIC (Wei 1992)
‧ Final prediction error (FPE) (Akaike 1969)
‧ FPEα (Bhansali and Downham 1977)
‧ FPEC (de Luna 1998)
‧ FPER (Larsen and Hansen 1994)
‧ GM (Geweke and Meese 1981)
‧ Generalized prediction error (GPE) (Moody 1991, 1992)
‧ Hannan and Quinn Criterion (HQ) (Hannan and Quinn 1979)
‧ KIC (Cavanaugh 1999)
‧ KICc (Cavanaugh 2004)
‧ Minimum description length (MDL) (Rissanen 1978)
‧ Minimum message length (MML) (Wallace and Boulton 1968)
‧ Predicted squared error (PSE) (Barron 1984)
‧ PRESS (Allen 1974)
‧ Schwarz criterion (also Schwarz information criterion (SIC) or
Bayesian information criterion (BIC) or Schwarz-Bayesian information
criterion) (Schwarz 1978)
‧ Structural risk minimization (SRM) (Vapnik and Chervonenkis 1974)
‧ TIC (Takeuchi's information criterion) (Takeuchi 1976)
‧ VC-dimension (Vapnik and Chervonekis 1968, 1971; Vapnik 1979)
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