The purpose of statistical model selection is to identify a parsimonious model, which is a model that is as simple as possible while maintaining good predictive ability over the outcome of interest.

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 67, No. 2 (2005), pp. 285-299 (15 pages) The importance of variable selection in regression has grown in recent years ...

Suppose we observe samples of a subset of a collection of random variables. No additional information is provided about the number of latent variables, nor of the relationship between the latent and ...