Methods and Criteria for Model Selection

Model selection is an important part of any statistical analysis, and indeed is central to the pursuit of science in general. Many authors have examined this question, from both frequentist and Bayesian perspectives, and many tools for selecting the \best model" have been suggested in the literature. This paper evaluates the various proposals from a decision{theoretic perspective, as a way of bringing coherence to a complex and central question in the eld.