The purpose of statistical model selection is to identify a parsimonious model, which is a model that is as simple as possible while maintaining good predictive ability over the outcome of interest.

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 67, No. 2 (2005), pp. 285-299 (15 pages) The importance of variable selection in regression has grown in recent years ...

The minimum description length (MDL) principle originated from data compression literature and has been considered for deriving statistical model selection procedures. Most of the existing methods ...