Model Selection Principles in Misspecified Models

DOI10.1111/rssb.12023zbMath1411.62218arXiv1005.5483OpenAlexW3105049881MaRDI QIDQ5743266

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Publication date: 9 May 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.5483

zbMATH Keywords

model selectionAkaike information criterionBayesian information criterionmodel misspecificationBayesian principlegeneralized Akaike information criteriongeneralized Bayesian information criteriongeneralized Bayesian information criterion with prior probabilityKullback-Leibler divergence principle

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15) Generalized linear models (logistic models) (62J12) Statistical ranking and selection procedures (62F07) Statistical aspects of information-theoretic topics (62B10)

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