Statistische und Probabilistische Methoden der Modellwahl
Authors: Berger James O. , Dette Holger , Lugosi Gábor , Munk Axel 
Published: December 2009

In order to achieve our goal to enhance discussion between these communities, every day the conference was opened by a survey talk. Friday afternoon the conference has been closed by a discussion session.

1. Frequentist model selection and testing
Nils Hjort introduced in his talk the fundamental
concept of a focused information criterion for model selction, which does not propagate a model
per se, rather it reflects the more realistic situation, that specific aspects of a model should drive the model selction process. He adressed various questions related to this, e.g. robustness issues, or how do classical information criteria such as AIC or BIC behave from this perspectice. He gives strong evidenve by various examples that different models may result when focussing on different parameters of primary interest.

The issue of testing a model was adressed by various talks, N. Neumeyer used bootstrap techniques applied to residual processes whereas L. Györfi's criterion is based on the

L^1

distance between densities. J. M. Loubes and N. Bissantz were concerned with model selection in inverse problems, i.e. for noisy integral operator equations. J.M. Loubes considers nonlinear operators which are locally linear and investigates convergence rates of penalized M-estimators. N. Bissantz focuses on

L^2

distance based model testing and selection methods and discusses various applications in astrophysics. To this end, a general analyisis of numerical and statistical regularisation methods is given. Finally, he constructed uniform confidence bands in deconvolution problems which allow graphically to select a proper model. The problem of deconvolution was also highlighted by J. P Kreiss in the context of time series analysis.
Conceptually related to N. Hjorts talk, J.K. Ghosh discussed different roles of different penalties in penalized likelihood model selection rules, making the case that the penalty used should depend on the goal (typically either prediction or selection of the best model) and that it is important to incorporate practical features such as growing model dimension in choosing penalties. L. Dümbgen was concerned with prediction regions in gaussian shift models.
He suggested a solution but also pointed out that adaptive construction of prediction regions via a sequence of nested models is limited in various ways. This is in contrast to adaptive estimation. He discussed a 'no go' result on the asymptotic diameter of the confidence ball in the spirit of Li (1989).

Other talks included topics on
Empirical process techniques for locally stationary processes

by Rainer Dahlhaus and
Universal principles, approximation and model choice
by
Patrick Laurie Davies and
Local Parametric Methods in Nonparametric Regression
by Vladimir Spokoiny.

2. Statistical learning theory and machine learning
Research on statistical learning theory and nonparametric classification
has also been strongly represented by several attendants who partly or
completely focus their research on these topics. Several talks have been
given in these fields, offering a nice overview on some of the most
active areas of investigation, such as oracle inequalities for penalized
model selection, margin-based performance bounds, empirically calibrated
penalties, model selection focusing on sparse solutions of corresponding
optimization problems, convex aggregation of estimators, as well as
some closely related issues emerging in density estimation, microarray
analysis, etc.
Peter Bartlett (UC Berkeley) gave a survey talk on nonparametric
classification based on empirical minimization of convex cost functionals,
a subject that offers a theoretical framework for many successful
classification algorithms, including boosting and support vector
machines. Marten Wegkamp's talk (Florida State University) discussed
a closely related problem of classification with a reject option.
Another survey talk on a closely related subject was delivered by
Sara van de Geer (ETH Zürich) who showed why empirical process
theory and concentration inequalities play a crucial role in
model selection problems for classification and nonparametric
regression. Similarly to Prof. van de Geer, Vladimir Koltchinskii
(Georgia Tech) also considered L1-type penalties that lead to
sparse models and derived sharp oracle inequalities.
Both Alexandre Tsybakov (University of Paris 7) and Florentina Bunea
(Florida State University) considered methods for convex aggregation
of certain estimates for regression, and proved close-to-optimal
performance bounds. László Györfi (Technical University of
Budapest) presented a model selection method and a corresponding
L1 performance bound for density estimation when the unknown
density is assumed to be in one of an infinite sequence of “parametric”
classes of densities.
Andrew Nobel (University of North Carolina) discussed algorithmic
and probabilistic problems arising in some problems of data mining
that can be modeled as searching for large homogeneous blocks
in random matrices.

3. Bayesian model selection

In
Bayesian model selection and BART
, E. George and R. McCulloch gave a survey of the Bayesian approach to model selection, while giving an illustration (BART) that seems to have remarkable predictive properties in function estimation and variable selection. This was followed by Merlise
Clyde, giving a talk on
Bayesian nonparametric function estimation using overcomplete representations and Lévy random field priors
.
This focused on the novel notion in Bayesian analysis that simultaneous use of multiple bases for functions (leasing to overcompleteness) can be quite valuable in practice, because it can allow for extremely sparse representations of functions. The final Bayesian talk on Monday was by Christian Robert, on
Prior choice and model selection
. This highlighted the key issue faced by Bayesians in model choice, namely the choice of the prior distribution. Modern approaches to this issue were reviewed, and a new approach (based on a criterion of ‘matching’ between models) was introduced.

Later talks included
A synthesis and unification of Bayes factors for model selection and hypothesis
testing
, by Luis Pericchi. This talk discussed the prominent role of training samples (or bootstrapping), in many modern model selection scenarios. Valen Johnson, in
A note on the consistency and interpretation of Bayes factors based on test statistics
considered the problem of developing easy to use Bayesian procedures as replacements for standard statistical procedures, such as chi-squared tests, t-tests, etc. He demonstrated how many Bayesian testing problems can be reduced to situations with only a one-dimensional unknown, which lend themselves to graphical description.

On the final day, the issue of multiple testing was addressed. This is one of the currently hottest areas of statistical and scientific research, and two talks were presented. M.-J. Bayarri gave a survey talk entitled
Multiple testing: the problem and some solutions
, which reviewed the connections between ‘false discovery rate,’ Bayesian posterior probabilities, and utility functions common in multiple testing scenarios. P. Müller followed with elaborations on the utility side, involving applications to significant problems in bioinformatics and clinical trials.

The final session in the workshop consisted of very short talks to give other participants (especially newer researchers) a chance to discuss their interests, and several Bayesian talks were presented. M. Bogdan presented
Model selection approach to the problem of locating genes influencing quantitative traits
, presenting a very nice generalization of BIC for a genetics problem. Katja Ickstadt presented
Comparing classification procedures using misclassification rates
, with an interesting application to determining genetic ‘snips.’ Angelika van der Linde spoke on
Posterior predictive model choice
, discussing a new asymptotic Bayesian approach to model choice, requiring a careful decomposition of entropy.

Closing Discussion Session:
The workshop ended with a discussion session designed to
identify key problems remaining to be addressed, and to identify key ways to bridge the gaps between the communities present at the workshop. The questions – together with short descriptions of the results of the discussion – are below.