Bias correction of cross-validation criterion based on Kullback-Leibler information under a general condition
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References listed on IDEAS
- Yasunori Fujikoshi & Takafumi Noguchi & Megu Ohtaki & Hirokazu Yanagihara, 2003. "Corrected versions of cross-validation criteria for selecting multivariate regression and growth curve models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(3), pages 537-553, September.
- Makio Ishiguro & Yosiyuki Sakamoto & Genshiro Kitagawa, 1997. "Bootstrapping Log Likelihood and EIC, an Extension of AIC," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(3), pages 411-434, September.
- Yanagihara, Hirokazu, 2006. "Corrected version of AIC for selecting multivariate normal linear regression models in a general nonnormal case," Journal of Multivariate Analysis, Elsevier, vol. 97(5), pages 1070-1089, May.
- White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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- Paolo Vidoni, 2015. "Estimating the Kullback–Liebler risk based on multifold cross-validation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 69(4), pages 510-540, November.
More about this item
KeywordsBias correction Cross-validation Predictive Kullback-Leibler information Model misspecification Model selection Robustness Weighted log-likelihood function;
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