Modfiied Conditional AIC in Linear Mixed Models
Abstractã€€ã€€ In linear mixed models, the conditional Akaike Information Criterion (cAIC) is a procedure for variable selection in light of the prediction of specific clusters or random effects. This is useful in problems involving prediction of random effects such as small area estimation, and much attention has been received since suggested by Vaida and Blanchard (2005). A weak point of cAIC is that it is derived as an unbiased estimator of conditional Akaike information (cAI) in the overspecified case, namely in the case that candidate models include the true model. This results in larger biases in the underspecified case that the true model is not included in candidate models. In this paper, we derive the modified cAIC (McAIC) to cover both the underspecified and overspecified cases, and investigate properties of McAIC. It is numerically shown that McAIC has less biases and less prediction errors than cAIC.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-895.
Length: 20 pages
Date of creation: Jul 2013
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-20 (All new papers)
- NEP-ECM-2013-07-20 (Econometrics)
- NEP-FOR-2013-07-20 (Forecasting)
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- Srivastava, Muni S. & Kubokawa, Tatsuya, 2010. "Conditional information criteria for selecting variables in linear mixed models," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 1970-1980, October.
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