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关于模型选择的广义信息准则的一个注记

A Note on the Generalized Information Criterion for Choice of a Model

Biometrika · 1980
被引 16
ABS 4

中文导读

本文探讨了在模型选择中,最大化对数似然减去参数个数乘数这一准则中乘数的取值选择,其中乘数为1对应Akaike信息准则,并提及与贝叶斯方法的关系。

Abstract

One way of selecting models is to choose that model for which the maximized log likelihood minus a multiple of the number of parameters estimated is a maximum. This note explores the choice of values for the multiplier, with the value one corresponding to Akaike's information criterion. The relationship with Bayesian procedures is mentioned.

模型选择信息准则计量经济学统计学