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7 - Occam's bonus

Published online by Cambridge University Press:  22 September 2009

Arnold Zellner
Affiliation:
University of Chicago
Hugo A. Keuzenkamp
Affiliation:
Universiteit van Amsterdam
Michael McAleer
Affiliation:
Murdoch University, Western Australia
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Summary

The year of the Tilburg Conference on Simplicity, 1997, coincided with the twenty-fifth anniversary of the publications of three classic contributions to the literature on the concerns of the conference (Akaike, 1973; Edwards, 1972; Nelder and Wedderburn, 1972). Taking my book Likelihood first (Edwards, 1972), it contains a section headed ‘Simplicity’ which may still serve to introduce the problem:

We seek scientific laws that adequately account for what we have observed in the belief that, next time a similar situation arises, they will account for what we then observe. We formulate our laws in probability terms because there is always a residuum of uncertainty in our predictions; and we weigh our laws in likelihood terms because there is always a residuum of uncertainty about them. Ramsey (1931) wrote ‘In choosing a system we have to compromise between two principles: subject always to the proviso that the system must not contradict any facts we know, we choose (other things being equal) the simplest system, and (other things being equal) we choose the system which gives the highest chance to the facts we have observed. This last is Fisher's “Principle of Maximum Likelihood”, and gives the only method of verifying a system of chances.’ It is the inequality of ‘other things’ to which we must now pay attention.

Type
Chapter
Information
Simplicity, Inference and Modelling
Keeping it Sophisticatedly Simple
, pp. 128 - 132
Publisher: Cambridge University Press
Print publication year: 2002

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