This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Robust model selection in regression via weighted likelihood methodology

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Agostinelli, Claudio

Additional information is available for the following registered author(s):

Abstract

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.sciencedirect.com/science/article/B6V1D-44JD67C-2/2/ed23f97f74339b885affa3ddc9789273
File Format:
File Function:
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 56 (2002)
Issue (Month): 3 (February)
Pages: 289-300
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:stapro:v:56:y:2002:i:3:p:289-300

Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description

Order Information:
Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
Web: https://shop.elsevier.com/order?id=505573&ref=505573_01_ooc_1&version=01

For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).

Related research
Keywords: Akaike information criterion Mallows Cp Robust model selection Weighted likelihood;

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. C. Agostinelli, 2002. "Robust stepwise regression," Journal of Applied Statistics, Taylor and Francis Journals, vol. 29(6), pages 825-840, August. [Downloadable!] (restricted)
Statistics
Access and download statistics

Did you know? Apart from a small start up grant in the 1990's, RePEc has received no funding and lives on the help of volunteers.

This page was last updated on 2009-11-7.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.