Model selection using union-intersection principle for non nested models

DOI10.1080/03610926.2015.1024863MaRDI QIDQ2979945zbMATH OpenOpenAlexFDO

Authors Hamid Lorestani, Abdolreza Sayyareh

Publication date 27 April 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2015.1024863

zbMATH Keywords

model selectionunion-intersection principlefolded normalcompeting modelsnon nested models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12)

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Cites work

• A new look at the statistical model identification
• A non-Gaussian multivariate distribution with all lower-dimensional Gaussians and related families
• Economic tolerance design for folded normal data
• Empiricial comparison between some model selection criteria
• Estimating a difference of Kullback-Leibler risks using a normalized difference of AIC
• Information criteria for selecting possibly misspecified parametric models
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Model selection tests for nonlinear dynamic models
• Nonlinear Regression with Dependent Observations
• Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
• On the exact distribution of the maximum of absolutely continuous dependent random variables
• On the selection of forecasting models
• Simulation based selection of competing structural econometric models

Cited in

(4)

• Testing several rival models using the extension of Vuong's test and quasi clustering
• Linear signed rank test for model selection
• Comparison of non-nested models under a general measure of distance
• A weighted model confidence set: applications to local and mixture model confidence sets

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