Robust model selection in regression via weighted likelihood methodology

Robust model selection procedures are introduced as a robust modification of the Akaike information criterion (AIC) and Mallows Cp. These extensions are based on the weighted likelihood methodology. When the model is correctly specified, these robust criteria are asymptotically equivalent to the classical ones under mild conditions. Robustness properties and the performance of the procedures are illustrated with examples and Monte Carlo simulations.

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Year of publication:	2002
Authors:	Agostinelli, Claudio
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 56.2002, 3, p. 289-300
Publisher:	Elsevier
Keywords:	Akaike information criterion Mallows Cp Robust model selection Weighted likelihood

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138159