A note on some model selection criteria

John J. Peterson

Statistics & Probability Letters, 1986, vol. 4, issue 5, 227-230

Abstract: Data-adaptive priors are used as a descriptive tool to unify some of the previously proposed model selection criteria in a direct manner. An empirical Bayes criterion is constructed which penalizes for overfitting of model form as well as dimensionally.

Keywords: data-adaptive; prior; model; dimensionality; model; form (search for similar items in EconPapers)
Date: 1986
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