An effective selection of regression variables when the error distribution is incorrectly specified (Q1100830)
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English | An effective selection of regression variables when the error distribution is incorrectly specified |
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An effective selection of regression variables when the error distribution is incorrectly specified (English)
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1987
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An asymptotically efficient selection of regression variables is considered in the situation where the statistician estimates regression parameters by the maximum likelihood method but fails to choose a likelihood function matching the true error distribution. The proposed procedure is useful when a robust regression technique is applied but the data in fact do not require that treatment. Examples and a Monte Carlo study are presented and relationships to other selectors such as Mallow's \(C_ p\) are investigated.
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model choice
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Mallows Cp-criterion
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asymptotically efficient selection of regression variables
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maximum likelihood
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robust regression
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Monte Carlo study
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