This web page has collection of talks, tutorials, case studies, and cross-validation FAQ by Aki Vehtari.
Example notebooks in R using rstanarm, rstan, bayesplot, loo, projpred.
Model selection tutorials
- Use of reference models in variable selection at Laplace’s demon seminar series
- Model assessment, comparison and selection at Master class in Bayesian statistics, CIRM, Marseille
- Model assessment and model selection aka Basics of cross-validation tutorial at StanCon 2018 Helsinki
- Regularized horseshoe talk at StanCon 2018 Asilomar
- Model selection tutorial at StanCon 2018 Asilomar
Outline of the StanCon 2018 Asilomar tutorial and links to notebooks
- Basics of predictive performance estimation
- When cross-validation is not needed
- When cross-validation is useful
- We don’t trust the model - roaches
- Complex model with posterior dependencies - collinear
- On accuracy of cross-validation
- Cross-validation and hierarchical models
- When cross-validation is not enough
- loo 2.0
- Projection predictive model selection
Bayesian Data Analysis lectures on model selection