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

DOI10.1016/J.JSPI.2015.10.004MaRDI QIDQ899371zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Comparing Non-Nested Regression Models
• Model selection using union-intersection principle for non nested models
• scientific article; zbMATH DE number 4217084
• The distance between regression models and its impact on model selection

Cites work

• scientific article; zbMATH DE number 5849508 (Why is no real title available?)
• scientific article; zbMATH DE number 3152042 (Why is no real title available?)
• scientific article; zbMATH DE number 44982 (Why is no real title available?)
• scientific article; zbMATH DE number 3522963 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• A nondegenerate Vuong test
• An application of multiple comparison techniques to model selection
• Dependence modeling with copulas
• Large and moderate deviations for Hotelling's \(T^2\)-statistic
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Likelihood-based inference for max-stable processes
• Limited participation in international business cycle models: a formal evaluation
• Maxima of normal random vectors: Between independence and complete dependence
• On the use of area-wide models in the euro-zone
• Selection between models through multi-step-ahead forecasting
• Self-normalized large deviations
• Truncated regular vines in high dimensions with application to financial data

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
• scientific article; zbMATH DE number 4217084 (Why is no real title available?)

Describes a project that uses

Uses Software

• CopulaModel
• VineCopula

This page was built for publication: Comparison of non-nested models under a general measure of distance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q899371)