Model selection

The total number of possible GMDH models is increasing exponentially by increasing the number of layers. The model selection can be formulated in the following way. Given a validation data set

of data vectors  and the corresponding output values , evaluate the derived model by using the performance measure and align it accordingly. A maximum of best qualified models are selected and retained at each layer. In this way the models on the next layer combine only the best models from the previous layers.