Model and Variable Selection

Free SOA Exam SRM (Statistics for Risk Modeling) lesson in Linear Models. 37 min read, ~5,509 words.

Choose the response distribution first (counts to Poisson, binary to binomial, positive skew to gamma), then the canonical link unless fit or interpretation says otherwise. t-tests target one coefficient; F-tests and likelihood ratio tests target nested-model comparisons. Use t for a single slope, F or LRT for blocks. A log...