Discrepancy risk model selection test theory for comparing possibly misspecified or nonnested models

DOI10.1007/BF02294799zbMATH Open1306.62417MaRDI QIDQ2259869FDOQ2259869

Authors: Richard M. Golden 

Publication date: 5 March 2015

Published in: Psychometrika (Search for Journal in Brave)

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zbMATH Keywords

model selectionM-estimationmodel misspecificationtime-serieshypothesis-testingasymptotic statistical theory

Mathematics Subject Classification ID

Applications of statistics to psychology (62P15)

Cites Work

• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Estimating the dimension of a model
• Approximation Theorems of Mathematical Statistics
• Title not available (Why is that?)
• Maximum Likelihood Estimation of Misspecified Models
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Title not available (Why is that?)
• The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses
• Model selection and Akaike's information criterion (AIC): The general theory and its analytical extensions
• Title not available (Why is that?)
• A Reference Bayesian Test for Nested Hypotheses and its Relationship to the Schwarz Criterion
• The performance of the likelihood ratio test when the model is incorrect
• Information criteria for selecting possibly misspecified parametric models
• Information-theoretic asymptotics of Bayes methods
• Title not available (Why is that?)
• Title not available (Why is that?)
• Statistical tests for comparing possibly misspecified and nonnested models
• Statistical Inference, Occam's Razor, and Statistical Mechanics on the Space of Probability Distributions
• Model selection tests for nonlinear dynamic models
• Fisher information and stochastic complexity
• Special issue on model selection
• Nonlinear behavior in sealed bid first price auctions
• Some Asymptotic Results for Learning in Single Hidden-Layer Feedforward Network Models
• Title not available (Why is that?)
• A Test for Global Maximum
• Some notes on Rissanen's stochastic complexity
• Minimum chi-square estimation and tests for model selection
• Comparing Non-Nested Linear Models
• Assessing the error probability of the model selection test
• A non-nested test of the AIDS vs. the translog demand system
• Making correct statistical inferences using a wrong probability model

Cited In (12)

• Evaluation of asset pricing models using two-pass cross-sectional regressions
• Assessing model mimicry using the parametric bootstrap.
• Duration dependence models for claim counts
• Extending greedy feature selection algorithms to multiple solutions
• Asymptotic normality of test statistics under alternative hypotheses
• A semi-nonparametric approach to model panel count data
• Statistical tests for comparing possibly misspecified and nonnested models
• A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
• Title not available (Why is that?)
• Moderate deviations of marginal maximum likelihood estimator for \(m\)-dependent processes
• Title not available (Why is that?)
• Chi-squared tests for evaluation and comparison of asset pricing models

Uses Software

• AS 155

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