A model selection criterion based on the BHHJ measure of divergence |
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Authors: | K Mattheou S Lee A Karagrigoriou |
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Institution: | 1. Department of Mathematics and Statistics, University of Cyprus, CY-1678 Nicosia, Cyprus;2. Department of Statistics, Seoul National University, Seoul 151-742, Republic of Korea |
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Abstract: | The aim of this work is the discussion and investigation of measures of divergence and model selection criteria. A recently introduced measure of divergence, the so-called BHHJ measure (Basu, A., Harris, I.R., Hjort, N.L., Jones, M.C., 1998. Robust and efficient estimation by minimising a density power divergence. Biometrika 85, 549–559) is investigated and a new model selection criterion the divergence information criterion (DIC) based on this measure is proposed. Simulations are performed to check the appropriateness of the proposed criterion. |
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Keywords: | BHHJ measure DIC Measure of divergence Model selection |
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