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Model selection criteria based on cross-validatory concordance statistics

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  • Patrick Ten Eyck

    () (The University of Iowa)

  • Joseph E. Cavanaugh

    (The University of Iowa)

Abstract

Abstract In the logistic regression framework, we present the development and investigation of three model selection criteria based on cross-validatory analogues of the traditional and adjusted c-statistics. These criteria are designed to estimate three corresponding measures of predictive error: the model misspecification prediction error, the fitting sample prediction error, and the sum of prediction errors. We aim to show that these estimators serve as suitable model selection criteria, facilitating the identification of a model that appropriately balances goodness-of-fit and parsimony, while achieving generalizability. We examine the properties of the selection criteria via an extensive simulation study designed as a factorial experiment. We then employ these measures in a practical application based on modeling the occurrence of heart disease.

Suggested Citation

  • Patrick Ten Eyck & Joseph E. Cavanaugh, 2018. "Model selection criteria based on cross-validatory concordance statistics," Computational Statistics, Springer, vol. 33(2), pages 595-621, June.
  • Handle: RePEc:spr:compst:v:33:y:2018:i:2:d:10.1007_s00180-017-0766-7
    DOI: 10.1007/s00180-017-0766-7
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    References listed on IDEAS

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    1. Wei Pan, 2001. "Akaike's Information Criterion in Generalized Estimating Equations," Biometrics, The International Biometric Society, vol. 57(1), pages 120-125, March.
    2. Mithat Gonen & Glenn Heller, 2005. "Concordance probability and discriminatory power in proportional hazards regression," Biometrika, Biometrika Trust, vol. 92(4), pages 965-970, December.
    3. Hamparsum Bozdogan, 1987. "Model selection and Akaike's Information Criterion (AIC): The general theory and its analytical extensions," Psychometrika, Springer;The Psychometric Society, vol. 52(3), pages 345-370, September.
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    5. Cavanaugh, Joseph E., 1999. "A large-sample model selection criterion based on Kullback's symmetric divergence," Statistics & Probability Letters, Elsevier, vol. 42(4), pages 333-343, May.
    6. Patrick J. Heagerty & Yingye Zheng, 2005. "Survival Model Predictive Accuracy and ROC Curves," Biometrics, The International Biometric Society, vol. 61(1), pages 92-105, March.
    7. Hui Zou & Trevor Hastie, 2005. "Addendum: Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 768-768, November.
    8. Bengtsson, Thomas & Cavanaugh, Joseph E., 2006. "An improved Akaike information criterion for state-space model selection," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2635-2654, June.
    9. Hui Zou & Trevor Hastie, 2005. "Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(2), pages 301-320, April.
    10. Vieu, Philippe, 1994. "Choice of regressors in nonparametric estimation," Computational Statistics & Data Analysis, Elsevier, vol. 17(5), pages 575-594, June.
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