New Criteria of Model Selection and Model Averaging in Linear Regression Models
American Journal of Theoretical and Applied Statistics
Volume 3, Issue 5, September 2014, Pages: 148-166
Received: Sep. 4, 2014; Accepted: Sep. 17, 2014; Published: Oct. 20, 2014
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Author
Magda Mohamed Mohamed Haggag, Department of Statistics, Mathematics, and Insurance, Faculty of Commerce, Damanhour University, Egypt
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Abstract
Model selection is an important part of any statistical analysis. Many tools are suggested for selecting the best model including frequentist and Bayesian perspectives. There is often a considerable uncertainty in the selection of a particular model to be the best approximating model. Model selection uncertainty arises when the data are used for both model selection and parameter estimation. Bias in estimators of model parameters often arise when data based selection has been done. Therefore, model averaging of the parameter estimators will be done to alleviate the bias in model selection in a set of candidate models, by combining the information from a set of candidate models. This paper is two-fold, new criteria of model selection are proposed based on different averages of AIC, BIC, AICc, and HQC. Also, model averaging is introduced to compare the parameter estimators in model averaging with the ones in model selection. Two Simulation studies are considered, the first is for model selection and showed that the new proposed criteria are lies between some of the known criteria such as AIC, BIC, AICc, and HQC, and so they can be used as new criteria of model selection. The second simulation study is for model averaging and showed that the parameter estimators have less bias and less predicted mean square error (PMSE) compared with the parameter estimators in model selection.
Keywords
AIC, BIC, AICc, HQC, Kullback-Leibler (K-L) Distance, Model Averaging, Model Selection
To cite this article
Magda Mohamed Mohamed Haggag, New Criteria of Model Selection and Model Averaging in Linear Regression Models, American Journal of Theoretical and Applied Statistics. Vol. 3, No. 5, 2014, pp. 148-166. doi: 10.11648/j.ajtas.20140305.15
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