Variable selection in generalized linear models with canonical link functions

Man Jin, Yixin Fang and Lincheng Zhao

Statistics & Probability Letters, 2005, vol. 71, issue 4, 371-382

Abstract: This paper studies a class of AIC-like model selection criteria for a generalized linear model with the canonical link. They have the form of , where is the maximized log-likelihood, p is the number of parameters and C is a term depending on the sample size n and satisfying C/n-->0 and as n-->[infinity]. Under suitable conditions, this class of criteria is shown to be strongly consistent. A simulation study was also conducted to assess the finite-sample performance with various choices of C for variable selection in a logit model and a log-linear model.

Keywords: Generalized; linear; model; Canonical; link; function; Information; theoretic; criteria; Model; selection (search for similar items in EconPapers)
Date: 2005
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