Package smile.validation


package smile.validation
Model validation and selection.

Model validation is the task of confirming that the outputs of a statistical model are acceptable with respect to the real data-generating process. A model can be validated only relative to some application area. A model that is valid for one application might be invalid for some other applications.

Model validation can be based on two types of data: data that was used in the construction of the model and data that was not used in the construction. Validation based on the first type usually involves analyzing the goodness of fit of the model or analyzing whether the residuals seem to be random (i.e. residual diagnostics). Validation based on only the first type is often inadequate. Validation based on the second type usually involves analyzing whether the model's predictive performance deteriorates non-negligibly when applied to pertinent new data.

Model selection is the task of selecting a statistical model from a set of candidate models, given data. In the simplest cases, a pre-existing set of data is considered. However, the task can also involve the design of experiments such that the data collected is well-suited to the problem of model selection.

Once the set of candidate models has been chosen, the statistical analysis allows us to select the best of these models. What is meant by best is controversial. A good model selection technique will balance goodness of fit with simplicity. More complex models will be better able to adapt their shape to fit the data, but the additional parameters may not represent anything useful. Goodness of fit is generally determined using a likelihood ratio approach, or an approximation of this, leading to a chi-squared test. The complexity is generally measured by counting the number of parameters in the model. Given candidate models of similar predictive or explanatory power, the simplest model is most likely to be the best choice (Occam's razor).