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Section: Research Program

Taking into account the modeling purpose in model selection

Choosing a model is not only difficult theoretically. From a practical point of view, it is important to design model selection criteria that accommodate situations in which the data probability distribution P is unknown, and which take the model user's purpose into account. Most standard model selection criteria assume that P belongs to one of a set of models, without considering the purpose of the model. By also considering the model user's purpose, we can avoid or overcome certain theoretical difficulties, and produce flexible model selection criteria with data-driven penalties. The latter is useful in supervised classification and hidden-structure models.