Maximized log-likelihood updating and model selection

Beong Soo So

Statistics & Probability Letters, 2003, vol. 64, issue 3, 293-303

Abstract: On the basis of simple algebraic identities, we derive a new updating formula for the maximized log-likelihoods. This formula enables us to decompose the predictive minimum description length (PMDL) criterion of Rissanen J. Roy. Statist. Soc. Ser. B 49 (1987) 1 into maximized log-likelihood and a penalty term representing model complexity. Statistical implications for model selection problems are discussed.

Keywords: Information; criteria; Maximized; log-likelihood; Updating; formula (search for similar items in EconPapers)
Date: 2003
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