A Review and Classification of Model Uncertainty
模型不确定性的综述与分类
Model uncertainty is a crucial issue in statistics, econometrics and machine learning, yet its definition remains ambiguous and is subject to various interpretations in the literature. So far, there has not been a universally accepted definition of model uncertainty. We review different understandings of model uncertainty and categorize them into three distinct types: uncertainty about the true model, model selection uncertainty, and model selection instability. We further…