A Decision Analysis of Model Selection

This paper describes a conceptual framework within which several alternate model forms for a particular process can be considered simultaneously. The development is in decision theoretic terms with the primary emphasis on the setting of a vector of control variables rather than the selection of a model per se. The argument centers about the role of observed data in altering the state of information about the appropriate model form and its parameters. The basic ideas are illustrated by means of a simple example of modeling a binary source.