Global statistical information in exponential experiments and selection of exponential models

Igor Vajda; E. van der Meulen

Applications of Mathematics (1998)

  • Volume: 43, Issue: 1, page 23-51
  • ISSN: 0862-7940

Abstract

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The concept of global statistical information in the classical statistical experiment with independent exponentially distributed samples is investigated. Explicit formulas are evaluated for common exponential families. It is shown that the generalized likelihood ratio test procedure of model selection can be replaced by a generalized information procedure. Simulations in a classical regression model are used to compare this procedure with that based on the Akaike criterion.

How to cite

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Vajda, Igor, and Meulen, E. van der. "Global statistical information in exponential experiments and selection of exponential models." Applications of Mathematics 43.1 (1998): 23-51. <http://eudml.org/doc/32995>.

@article{Vajda1998,
abstract = {The concept of global statistical information in the classical statistical experiment with independent exponentially distributed samples is investigated. Explicit formulas are evaluated for common exponential families. It is shown that the generalized likelihood ratio test procedure of model selection can be replaced by a generalized information procedure. Simulations in a classical regression model are used to compare this procedure with that based on the Akaike criterion.},
author = {Vajda, Igor, Meulen, E. van der},
journal = {Applications of Mathematics},
keywords = {exponential families; information divergence; Fisher information; global information; Akaike criterion; model selection; global information; exponential families; information divergence; Akaike criterion},
language = {eng},
number = {1},
pages = {23-51},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {Global statistical information in exponential experiments and selection of exponential models},
url = {http://eudml.org/doc/32995},
volume = {43},
year = {1998},
}

TY - JOUR
AU - Vajda, Igor
AU - Meulen, E. van der
TI - Global statistical information in exponential experiments and selection of exponential models
JO - Applications of Mathematics
PY - 1998
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 43
IS - 1
SP - 23
EP - 51
AB - The concept of global statistical information in the classical statistical experiment with independent exponentially distributed samples is investigated. Explicit formulas are evaluated for common exponential families. It is shown that the generalized likelihood ratio test procedure of model selection can be replaced by a generalized information procedure. Simulations in a classical regression model are used to compare this procedure with that based on the Akaike criterion.
LA - eng
KW - exponential families; information divergence; Fisher information; global information; Akaike criterion; model selection; global information; exponential families; information divergence; Akaike criterion
UR - http://eudml.org/doc/32995
ER -

References

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