On a Distribution Arising in the Context of Comparative Model Performance Evaluation Problems
AbstractThe paper deals with a distribution that arises as the distribution of a sample statistic used to compare the predictive ability of two competing linear models. It is defined as the distribution of the ratio of two correlated gamma variables and its probabilities are tabulated in order that they become readily available for practical use
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 6276.
Date of creation: 1998
Date of revision:
Model selection; Bivariate gamma distribution; F distribution;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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- Panaretos, John & Psarakis, Stelios & Xekalaki, Evdokia & Karlis, Dimitris, 2005. "The Correlated Gamma-Ratio Distribution in Model Evaluation and Selection," MPRA Paper 6355, University Library of Munich, Germany.
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