Model selection under order restriction

Lincheng Zhao and Limin Peng

Statistics & Probability Letters, 2002, vol. 57, issue 4, 301-306

Abstract: In this paper, a general information criterion is developed for detecting the multiplicity of the largest parameter as well as the configuration of true parameters with simple order restriction. The strong consistency of the relevant detection procedures are established, and a brief comparison of several criteria is also conducted through simulation studies.

Keywords: Model; selection; Akaike's; information; criterion; Consistency; Changepoint (search for similar items in EconPapers)
Date: 2002
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