ConfZIC

Confidence Envelopes for Model Selection Criteria Based on Minimum ZIC

A. Alex Trindade, I.m.l. Nadeesha Jayaweera

Last update: 14 June 2023

Copyright license: GNU General Public License, version 2.0

Software version identifier: 1.0.0, 1.0.1

Description

Narrow down the number of models to look at in model selection using the confidence envelopes based on the minimum ZIC (Generalized Information Criteria) values for regression and time series data. Functions involve the computation of multivariate normal-probabilities with covariance matrices based on minimum ZIC inverting the CDF of the minimum ZIC. It involves both the computation of singular and non-singular probabilities as described in Genz (1992) <[https:doi.org/10.2307/1390838]https:doi.org/10.2307/1390838>.

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