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Asymptotic criteria for model selection

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Summary

A general frame is given in which model selection criteria can be derived. At first conditions are stated under which the asymptotic distribution of minimum discrepancy estimators can be given. The results are used to derive an approximation to the expected discrepancy. Estimators of this expectation, i.e. model selection criteria, are proposed.

Zusammenfassung

Ein allgemeiner Rahmen wird gegeben, in dem man Kriterien zur Modellauswahl herleiten kann. Zuerst werden Bedingungen angeführt, unter denen man die asymptotische Verteilung von Minimum-Diskrepanz-Schätzern angeben kann. Mit den Resultaten wird dann eine Annäherung an die erwartete Gesamtdiskrepanz berechnet. Schätzer dieser Erwartung, also Kriterien zur Modellauswahl, werden vorgeschlagen.

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Authors and Affiliations

  1. Institut für Statistik und Ökonometrie der Universität Göttingen, Nikolausberger Weg 9c, D-3400, Göttingen

    H. Linhart & P. Volkers

Authors
  1. H. Linhart
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  2. P. Volkers
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Linhart, H., Volkers, P. Asymptotic criteria for model selection. OR Spektrum 6, 161–165 (1984). https://doi.org/10.1007/BF01719613

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  • DOI: https://doi.org/10.1007/BF01719613

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