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To select the simplest model that describes data sufficiently well and penalize models for excess complexity (ie, more than is needed. Subscribe to the openintroorg channel stay uptodate. Covers various criteria and search strategies, many of which apply other types.
Introduction to the basic idea of model selection, and some examples. A brief introduction to model selection in linear regression. Brief mention of a few other approaches to model selection.
Linear regression using mle, bayesian regression, knearest neighbor. Aic (akaike information criterion), bic (bayesian mdl (minimum descriptio.