Model selection bias and Freedman's paradox

Paul M. Lukacs, Kenneth P. Burnham, David R. Anderson

    Research output: Contribution to journalArticlepeer-review

    Abstract

    In situations where limited knowledge of a system exists and the ratio of data points to variables is small, variable selection methods can often be misleading. Freedman (Am Stat 37:152-155, 1983) demonstrated how common it is to select completely unrelated variables as highly "significant" when the number of data points is similar in magnitude to the number of variables. A new type of model averaging estimator based on model selection with Akaike's AIC is used with linear regression to investigate the problems of likely inclusion of spurious effects and model selection bias, the bias introduced while using the data to select a single seemingly "best" model from a (often large) set of models employing many predictor variables. The new model averaging estimator helps reduce these problems and provides confidence interval coverage at the nominal level while traditional stepwise selection has poor inferential properties.

    Original languageEnglish
    Pages (from-to)117-125
    Number of pages9
    JournalAnnals of the Institute of Statistical Mathematics
    Volume62
    Issue number1
    DOIs
    StatePublished - Feb 2010

    Keywords

    • Akaike's information criterion
    • Confidence interval coverage
    • Freedman's paradox
    • Model averaging
    • Model selection bias
    • Model selection uncertainty
    • Multimodel inference
    • Stepwise selection

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