Model comparison with composite likelihood information criteria

DOI10.3150/13-BEJ539MaRDI QIDQ470048zbMATH OpenOpenAlexFDO

Authors Chi Tim Ng, Harry Joe

Publication date 11 November 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.4354, https://projecteuclid.org/euclid.bj/1411134443

zbMATH Keywords

local alternativesmodel comparisonAkaike information criterionBayesian information criterionmixed-effects model

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15)

Abstract: Comparisons are made for the amount of agreement of the composite likelihood information criteria and their full likelihood counterparts when making decisions among the fits of different models, and some properties of penalty term for composite likelihood information criteria are obtained. Asymptotic theory is given for the case when a simpler model is nested within a bigger model, and the bigger model approaches the simpler model under a sequence of local alternatives. Composite likelihood can more or less frequently choose the bigger model, depending on the direction of local alternatives; in the former case, composite likelihood has more "power" to choose the bigger model. The behaviors of the information criteria are illustrated via theory and simulation examples of the Gaussian linear mixed-effects model.

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Cited in

(5)

• Non-stationary dependence structures for spatial extremes
• Model selection by pathwise marginal likelihood thresholding
• A note on composite likelihood inference and model selection
• Inference and forecasting for continuous-time integer-valued trawl processes
• On the theory of periodic multivariate INAR processes

Describes a project that uses

Uses Software

• MEMSS
• S-PLUS

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