Comparison of non-nested models under a general measure of distance

DOI10.1016/J.JSPI.2015.10.004zbMATH Open1328.62101OpenAlexW2180311227MaRDI QIDQ899371FDOQ899371

Authors: Chi Tim Ng, Harry Joe 

Publication date: 28 December 2015

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2015.10.004

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zbMATH Keywords

copulacomposite likelihoodmodel misspecificationmodel comparisonlarge deviation theory

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Dependence modeling with copulas
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Maxima of normal random vectors: Between independence and complete dependence
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• Truncated regular vines in high dimensions with application to financial data
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• Likelihood-based inference for max-stable processes
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• An application of multiple comparison techniques to model selection
• Self-normalized large deviations
• A nondegenerate Vuong test
• Large and moderate deviations for Hotelling's \(T^2\)-statistic
• On the use of area-wide models in the euro-zone
• Limited participation in international business cycle models: a formal evaluation
• Selection between models through multi-step-ahead forecasting

Cited In (4)

• Basic procedure for model comparison using the gap metric
• The distance between regression models and its impact on model selection
• Applications of a Kullback-Leibler divergence for comparing non-nested models
• Title not available (Why is that?)

Uses Software

• VineCopula
• CopulaModel

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