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Model selection under order restriction

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  • Zhao, Lincheng
  • Peng, Limin
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    Abstract

    In this paper, a general information criterion is developed for detecting the multiplicity of the largest parameter as well as the configuration of true parameters with simple order restriction. The strong consistency of the relevant detection procedures are established, and a brief comparison of several criteria is also conducted through simulation studies.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-458P56R-3/2/79b5f889d5753647e1c217e0276f6e2f
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    Bibliographic Info

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

    Volume (Year): 57 (2002)
    Issue (Month): 4 (May)
    Pages: 301-306

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    Handle: RePEc:eee:stapro:v:57:y:2002:i:4:p:301-306

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    Related research

    Keywords: Model selection Akaike's information criterion Consistency Changepoint;

    References

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    1. Zhao, L. C. & Krishnaiah, P. R. & Bai, Z. D., 1986. "On detection of the number of signals in presence of white noise," Journal of Multivariate Analysis, Elsevier, vol. 20(1), pages 1-25, October.
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    Cited by:
    1. Rueda, Cristina, 2013. "Degrees of freedom and model selection in semiparametric additive monotone regression," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 88-99.

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