An Introduction to Model Selection.

This paper is an introduction to model selection intended for nonspecialists who have knowledge of the statistical concepts covered in a typical first (occasionally second) statistics course. The intention is to explain the ideas that generate frequentist methodology for model selection, for example the Akaike information criterion, bootstrap criteria, and cross-validation criteria. Bayesian methods, including the Bayesian information criterion, are also mentioned in the context of the framework outlined in the paper. The ideas are illustrated using an example in which observations are available for the entire population of interest. This enables us to examine and to measure effects that are usually invisible, because in practical applications only a sample from the population is observed. The problem of selection bias, a hazard of which one needs to be aware in the context of model selection, is also discussed. Copyright 2000 Academic Press.