A Criterion for Local Model Selection

G. Avlogiaris (), A. C. Micheas () and K. Zografos ()
Additional contact information
G. Avlogiaris: University of Ioannina
A. C. Micheas: University of Missouri
K. Zografos: University of Ioannina

Sankhya A: The Indian Journal of Statistics, 2019, vol. 81, issue 2, No 7, 406-444

Abstract: Abstract In this paper, we introduce a class of local divergences between two probability distributions and illustrate its usefulness in model selection. Explicit expressions of the proposed local divergences are derived when the underlying distributions are members of the exponential family of distributions or they are described by multivariate normal models. In addition, a local model selection criterion, termed the local divergence information criterion (LDiv.IC), is proposed. Simulations and applications are presented in order to study and exemplify the performance of the proposed criterion.

Keywords: Model selection; AIC; Local divergence information criterion; Local model selection criterion; Local expected overall discrepancy; Local BHHJ power divergence; Mixture models; Point process theory; Primary 62B10; Secondary 62F99 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s13171-018-0126-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sankha:v:81:y:2019:i:2:d:10.1007_s13171-018-0126-x

Ordering information: This journal article can be ordered from
http://www.springer.com/statistics/journal/13171

DOI: 10.1007/s13171-018-0126-x

Access Statistics for this article

Sankhya A: The Indian Journal of Statistics is currently edited by Dipak Dey

More articles in Sankhya A: The Indian Journal of Statistics from Springer, Indian Statistical Institute
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().