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The minimum description length principle in coding and modeling
 IEEE TRANS. INFORM. THEORY
, 1998
"... We review the principles of Minimum Description Length and Stochastic Complexity as used in data compression and statistical modeling. Stochastic complexity is formulated as the solution to optimum universal coding problems extending Shannon’s basic source coding theorem. The normalized maximized ..."
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Cited by 354 (15 self)
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We review the principles of Minimum Description Length and Stochastic Complexity as used in data compression and statistical modeling. Stochastic complexity is formulated as the solution to optimum universal coding problems extending Shannon’s basic source coding theorem. The normalized maximized likelihood, mixture, and predictive codings are each shown to achieve the stochastic complexity to within asymptotically vanishing terms. We assess the performance of the minimum description length criterion both from the vantage point of quality of data compression and accuracy of statistical inference. Context tree modeling, density estimation, and model selection in Gaussian linear regression serve as examples.
Bayesian measures of model complexity and fit
 Journal of the Royal Statistical Society, Series B
, 2002
"... [Read before The Royal Statistical Society at a meeting organized by the Research ..."
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Cited by 327 (4 self)
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[Read before The Royal Statistical Society at a meeting organized by the Research
Model Selection and Model Averaging in Phylogenetics: Advantages of Akaike Information Criterion and Bayesian Approaches Over Likelihood Ratio Tests
, 2004
"... Model selection is a topic of special relevance in molecular phylogenetics that affects many, if not all, stages of phylogenetic inference. Here we discuss some fundamental concepts and techniques of model selection in the context of phylogenetics. We start by reviewing different aspects of the sel ..."
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Cited by 274 (5 self)
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Model selection is a topic of special relevance in molecular phylogenetics that affects many, if not all, stages of phylogenetic inference. Here we discuss some fundamental concepts and techniques of model selection in the context of phylogenetics. We start by reviewing different aspects of the selection of substitution models in phylogenetics from a theoretical, philosophical and practical point of view, and summarize this comparison in table format. We argue that the most commonly implemented model selection approach, the hierarchical likelihood ratio test, is not the optimal strategy for model selection in phylogenetics, and that approaches like the Akaike Information Criterion (AIC) and Bayesian methods offer important advantages. In particular, the latter two methods are able to simultaneously compare multiple nested or nonnested models, assess model selection uncertainty, and allow for the estimation of phylogenies and model parameters using all available models (modelaveraged inference or multimodel inference). We also describe how the relative importance of the different parameters included in substitution models can be depicted. To illustrate some of these points, we have applied AICbased model averaging to 37 mitochondrial DNA sequences from the subgenus Ohomopterus (genus Carabus) ground beetles described by Sota and Vogler (2001).
Implied Volatility Functions: Empirical Tests
, 1995
"... Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black/Scholes constant volatility assumption is violat ..."
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Cited by 263 (4 self)
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Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time. Since the volatility function in their model has an arbitrary specification, the deterministic volatility (DV) option valuation model has the potential of fitting the observed crosssection of option prices exactly. Using a sample of S&P 500 index options during the period June 1988 and December 1993, we attempt to evaluate the economic significance of the implied volatility function by examining the predictive and hedging performance of the DV option valuation model. Discussion draft: September 8, 1995 ____________________________________________...
The Effective Number of Parameters: An Analysis of Generalization and Regularization in Nonlinear Learning Systems
, 1992
"... We present an analysis of how the generalization performance (expected test set error) relates to the expected training set error for nonlinear learning systems, such as multilayer perceptrons and radial basis functions. The principal result is the following relationship (computed to second order ..."
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Cited by 188 (2 self)
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We present an analysis of how the generalization performance (expected test set error) relates to the expected training set error for nonlinear learning systems, such as multilayer perceptrons and radial basis functions. The principal result is the following relationship (computed to second order) between the expected test set and training set errors: hE test ()i 0 hE train ()i + 2oe 2 eff p eff () n : (1) Here, n is the size of the training sample , oe 2 eff is the effective noise variance in the response variable(s), is a regularization or weight decay parameter, and p eff () is the effective number of parameters in the nonlinear model. The expectations h i of training set and test set errors are taken over possible training sets and training and test sets 0 respectively. The effective number of parameters p eff () usually differs from the true number of model parameters p for nonlinear or regularized models; this theoretical conclusion is supported by M...
Nearly unbiased variable selection under minimax concave penalty
 Annals of Statistics
, 2010
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Bayesian phylogenetic analysis of combined data
 Syst. Biol
, 2004
"... Abstract. — The recent development of Bayesian phylogenetic inference using Markov chain Monte Carlo (MCMC) techniques has facilitated the exploration of parameterrich evolutionary models. At the same time, stochastic models have become more realistic (and complex) and have been extended to new typ ..."
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Cited by 157 (6 self)
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Abstract. — The recent development of Bayesian phylogenetic inference using Markov chain Monte Carlo (MCMC) techniques has facilitated the exploration of parameterrich evolutionary models. At the same time, stochastic models have become more realistic (and complex) and have been extended to new types of data, such as morphology. Based on this foundation, we developed a Bayesian MCMC approach to the analysis of combined data sets and explored its utility in inferring relationships among gall wasps based on data from morphology and four genes (nuclear and mitochondrial, ribosomal and protein coding). Examined models range in complexity from those recognizing only a morphological and a molecular partition to those having complex substitution models with independent parameters for each gene. Bayesian MCMC analysis deals efficiently with complex models: convergence occurs faster and more predictably for complex models, mixing is adequate for all parameters even under very complex models, and the parameter update cycle is virtually unaffected by model partitioning across sites. Morphology contributed only 5 % of the characters in the data set but nevertheless influenced the combineddata tree, supporting the utility of morphological data in multigene analyses. We used Bayesian criteria (Bayes factors) to show that process heterogeneity across data partitions is a significant model component, although not as important as amongsite rate variation. More complex evolutionary models are associated with more topological uncertainty and less conflict between morphology and molecules. Bayes factors sometimes favor simpler models over considerably more
Calibration and Empirical Bayes Variable Selection
 Biometrika
, 1997
"... this paper, is that with F =2logp. This choice was proposed by Foster &G eorge (1994) where it was called the Risk Inflation Criterion (RIC) because it asymptotically minimises the maximum predictive risk inflation due to selection when X is orthogonal. This choice and its minimax property were ..."
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Cited by 155 (21 self)
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this paper, is that with F =2logp. This choice was proposed by Foster &G eorge (1994) where it was called the Risk Inflation Criterion (RIC) because it asymptotically minimises the maximum predictive risk inflation due to selection when X is orthogonal. This choice and its minimax property were also discovered independently by Donoho & Johnstone (1994) in the wavelet regression context, where they refer to it as the universal hard thresholding rule
A point process framework for relating neural spiking activity to spiking history, neural ensemble, and extrinsic covariate effects
 Journal of neurophysiology
, 2005
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