Minimum Description Length Model Selection in Gaussian Regression under Data Constraints

Erkki P. Liski () and Antti Liski ()
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Erkki P. Liski: University of Tampere
Antti Liski: Tampere University of Technology

A chapter in Statistical Inference, Econometric Analysis and Matrix Algebra, 2009, pp 201-208 from Springer

Abstract: Abstract The normalized maximum likelihood (NML) formulation of the stochastic complexity Rissanen ([10]) contains two components: the maximized log likelihood and a component that may be interpreted as the parametric complexity of the model. The stochastic complexity for the data, relative to a suggested model, serves as a criterion for model selection. The calculation of the stochastic complexity can be considered as an implementation of the minimum description length principle (MDL) (cf. Rissanen [12]). To obtain an NML based model selection criterion for the Gaussian linear regression, Rissanen [11] constrains the data space appropriately. In this paper we demonstrate the effect of the data constraints on the selection criterion. In fact, we obtain various forms of the criterion by reformulating the shape of the data constraints. A special emphasis is placed on the performance of the criterion when collinearity is present in data.

Keywords: Minimum Description Length; Data Constraint; Potential Explanatory Variable; Minimum Description Length Principle; Stochastic Complexity (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2121-5_14

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DOI: 10.1007/978-3-7908-2121-5_14

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