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A Modified Akaike Criterion for Model Choice in Generalized Linear Models

 

作者: Michel Bonneu,   Xavier Milhaud,  

 

期刊: Statistics  (Taylor Available online 1994)
卷期: Volume 25, issue 3  

页码: 225-238

 

ISSN:0233-1888

 

年代: 1994

 

DOI:10.1080/02331889408802447

 

出版商: Gordon & Breach Science Publishers

 

关键词: AMS 1980 subject classifications;60F05;62C05;62J99;Generalized linear models;AIC statistic;model selection;asymptotic prediction criterion

 

数据来源: Taylor

 

摘要:

summary.In Bonneu (1988) a prediction criterion for model selection is defined for Generalized Linear Models (GLM). This criterion, similar to AIC (Akaike, H. (1973)), Sakamoto, Y. and Akaike, H. (1978)) is based on the expected Kullback-Leibler discrepancy (Kullback, S. 1959)), especially defined for prediction. The model selection strategy is employed to select a Nelder's link function (1972) and a small subset of explanatory variables. Data are observed from an experimental design with unequal numbers of replications. This paper deals with the asymptotic estimate of this prediction criterion and compares it with a simulated bootstrap estimate. Usually asymptotic criteria for model selection can be written as the sum of a statistic and a bias (see Linhart, H. and Volkers, P. (1984); Linhart, H. and Zucchini, W. (1986)). In the present paper, asymptotic arguments are investigated in a different way, taking into account the prediction objective and GLM framework with unequal numbers of replicates.

 

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