메뉴 건너뛰기




Volumn 7, Issue 2, 1997, Pages 327-338

Robustness aspects of model choice

Author keywords

Akaike criterion; Autoregressive models; Competing models; Crossvalidation; Diagnostics; Information theory; M estimators; Mallows's C P; Non nested hypotheses; Outliers; Robust Akaike criterion; Robust C P; Robust regression; Robust tests

Indexed keywords


EID: 0031485477     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (52)

References (36)
  • 1
    • 0000501656 scopus 로고
    • Information theory and an extension of the maximum likelihood principle
    • (Edited by B. N. Petrov and F. Csáki), Akadémiai Kiadó, Budapest
    • Akaike, H. (1973). Information theory and an extension of the maximum likelihood principle. In 2nd International Symposium on Information Theory (Edited by B. N. Petrov and F. Csáki), 267-281. Akadémiai Kiadó, Budapest.
    • (1973) 2nd International Symposium on Information Theory , pp. 267-281
    • Akaike, H.1
  • 2
    • 0642376001 scopus 로고
    • Algoritmic development in variable selection procedures
    • Physica-Verlag, Heidelberg
    • Antoch, J. (1986). Algoritmic development in variable selection procedures. Proceedings of COMPSTAT 1986, 83-90, Physica-Verlag, Heidelberg.
    • (1986) Proceedings of COMPSTAT 1986 , pp. 83-90
    • Antoch, J.1
  • 3
    • 84865940806 scopus 로고
    • Variable selection in linear models based on trimmed least squares estimator
    • (Edited by Y. Dodge), North Holland
    • 1-norm and Related Methods (Edited by Y. Dodge), 231-245. North Holland.
    • (1987) 1-norm and Related Methods , pp. 231-245
    • Antoch, J.1
  • 4
    • 0001075375 scopus 로고
    • A method for discriminating between models
    • Atkinson, A. C. (1970). A method for discriminating between models. J. Roy. Statist. Soc. Ser. B 32, 323-353.
    • (1970) J. Roy. Statist. Soc. Ser. B , vol.32 , pp. 323-353
    • Atkinson, A.C.1
  • 6
    • 0017657558 scopus 로고
    • Some properties of the order of an autoregressive model selected by a generalization of Akaike's FPE criterion
    • Bhansali, R. J. and Downham, D. Y. (1977). Some properties of the order of an autoregressive model selected by a generalization of Akaike's FPE criterion. Biometrika 64, 547-551.
    • (1977) Biometrika , vol.64 , pp. 547-551
    • Bhansali, R.J.1    Downham, D.Y.2
  • 8
    • 0000793491 scopus 로고
    • Further results on tests of separate families of hypotheses
    • Cox, D. R. (1962). Further results on tests of separate families of hypotheses. J. Roy. Statist. Soc. Ser. B 24, 406-424.
    • (1962) J. Roy. Statist. Soc. Ser. B , vol.24 , pp. 406-424
    • Cox, D.R.1
  • 9
    • 49049129486 scopus 로고
    • Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence
    • Godfrey, L. G. and Pesaran, M. H. (1983). Tests of non-nested regression models: small sample adjustments and Monte Carlo evidence. J. Econom. 21, 133-154.
    • (1983) J. Econom. , vol.21 , pp. 133-154
    • Godfrey, L.G.1    Pesaran, M.H.2
  • 10
    • 0010877732 scopus 로고
    • A simplified method of calculating the distribution free Cox test
    • Hall, A. (1985). A simplified method of calculating the distribution free Cox test. Econom. Lett. 18, 149-151.
    • (1985) Econom. Lett. , vol.18 , pp. 149-151
    • Hall, A.1
  • 11
    • 0008648729 scopus 로고
    • Some aspects of model choice in robust statistics
    • Book 2, Madrid
    • Hampel, F. R. (1983). Some aspects of model choice in robust statistics. Proceedings of the 44th Session of the ISI, Book 2, 767-771, Madrid.
    • (1983) Proceedings of the 44th Session of the ISI , pp. 767-771
    • Hampel, F.R.1
  • 12
    • 0010879556 scopus 로고
    • Some mixed questions and comments on robustness
    • IMA Volumes in Mathematics and Its Applications, (Edited by W. Stahel and S. Weisberg), Springer, New York
    • Hampel, F. R. (1991). Some mixed questions and comments on robustness. In Directions in Robust Statistics and Diagnostics, IMA Volumes in Mathematics and Its Applications, 33 (Edited by W. Stahel and S. Weisberg), 101-111. Springer, New York.
    • (1991) Directions in Robust Statistics and Diagnostics , vol.33 , pp. 101-111
    • Hampel, F.R.1
  • 14
    • 51249171675 scopus 로고
    • An effective selection of regression variables when the error distribution is incorrectly specified
    • Härdle, W. (1987). An effective selection of regression variables when the error distribution is incorrectly specified. Ann. Inst. Statist. Math. 39, 533-548.
    • (1987) Ann. Inst. Statist. Math. , vol.39 , pp. 533-548
    • Härdle, W.1
  • 15
    • 21844487129 scopus 로고
    • Robust bounded-influence tests in general parametric models
    • Heritier, S. and Ronchetti, E. (1994). Robust bounded-influence tests in general parametric models. J. Amer. Statist. Assoc. 89, 897-904.
    • (1994) J. Amer. Statist. Assoc. , vol.89 , pp. 897-904
    • Heritier, S.1    Ronchetti, E.2
  • 16
    • 0004262735 scopus 로고
    • John Wiley and Sons, New York
    • Huber, P. J. (1981). Robust Statistics. John Wiley and Sons, New York.
    • (1981) Robust Statistics
    • Huber, P.J.1
  • 17
    • 38249018650 scopus 로고
    • Model selection for least absolute deviations regression in small samples
    • Hurvich, C. M. and Tsai, C. L. (1990). Model selection for least absolute deviations regression in small samples. Statist. Probab. Lett. 9, 259-265.
    • (1990) Statist. Probab. Lett. , vol.9 , pp. 259-265
    • Hurvich, C.M.1    Tsai, C.L.2
  • 19
    • 21144473006 scopus 로고
    • Assessing influence in variable selection problems
    • Léger, C. and Altman, N. (1993). Assessing influence in variable selection problems. J. Amer. Statist. Assoc. 88, 547-556.
    • (1993) J. Amer. Statist. Assoc. , vol.88 , pp. 547-556
    • Léger, C.1    Altman, N.2
  • 20
    • 21144460355 scopus 로고
    • Robust model selection and M-estimation
    • Machado, J. A. F. (1993). Robust model selection and M-estimation. Econometric Theory 9, 478-493.
    • (1993) Econometric Theory , vol.9 , pp. 478-493
    • Machado, J.A.F.1
  • 22
    • 0002862560 scopus 로고
    • Robust Estimation of Autoregressive Models
    • (Edited by D. R. Brillinger and G. C. Tiao), Institute of Mathematical Statistics, Hayward, CA
    • Martin, R. D. (1980). Robust Estimation of Autoregressive Models. In Directions in Time Series (Edited by D. R. Brillinger and G. C. Tiao), 228-262. Institute of Mathematical Statistics, Hayward, CA.
    • (1980) Directions in Time Series , pp. 228-262
    • Martin, R.D.1
  • 25
    • 0002350835 scopus 로고
    • Robust model selection in regression
    • Ronchetti, E. (1985). Robust model selection in regression. Statist. Probab. Lett. 3, 21-23.
    • (1985) Statist. Probab. Lett. , vol.3 , pp. 21-23
    • Ronchetti, E.1
  • 28
    • 0000120766 scopus 로고
    • Estimating the dimension of a model
    • Schwarz, G. (1978). Estimating the dimension of a model. Ann. Statist. 6, 461-464.
    • (1978) Ann. Statist. , vol.6 , pp. 461-464
    • Schwarz, G.1
  • 29
    • 21144474350 scopus 로고
    • Linear model selection by cross-validation
    • Shao, J. (1993). Linear model selection by cross-validation. J. Amer. Statist. Assoc. 88, 486-494.
    • (1993) J. Amer. Statist. Assoc. , vol.88 , pp. 486-494
    • Shao, J.1
  • 31
    • 77956887130 scopus 로고
    • An optimal selection of regression variables
    • Shibata, R. (1981). An optimal selection of regression variables. Biometrika 68, 45-54.
    • (1981) Biometrika , vol.68 , pp. 45-54
    • Shibata, R.1
  • 32
    • 84990496326 scopus 로고
    • Robust variable selection in regression in the presence of outliers and leverage points
    • Sommer, S. and Staudte, R. G. (1995). Robust variable selection in regression in the presence of outliers and leverage points. Australian Journal of Statistics 37, 323-336.
    • (1995) Australian Journal of Statistics , vol.37 , pp. 323-336
    • Sommer, S.1    Staudte, R.G.2
  • 34
    • 0000859675 scopus 로고
    • An asymptotic equivalence of choice of model by cross-validation and Akaike's criterion
    • Stone, M. (1977). An asymptotic equivalence of choice of model by cross-validation and Akaike's criterion. J. Roy. Statist. Soc. Ser. B 39, 44-47.
    • (1977) J. Roy. Statist. Soc. Ser. B , vol.39 , pp. 44-47
    • Stone, M.1
  • 35
    • 0001340995 scopus 로고    scopus 로고
    • A robust model choice test for non-nested hypotheses
    • to appear
    • Victoria-Feser, M. P. (1997). A robust model choice test for non-nested hypotheses. J. Roy. Statist. Soc. Ser. B 59 (to appear).
    • (1997) J. Roy. Statist. Soc. Ser. B , vol.59
    • Victoria-Feser, M.P.1
  • 36
    • 0000204626 scopus 로고
    • Regularity conditions for Cox's test of non-nested hypotheses
    • White, H. (1982). Regularity conditions for Cox's test of non-nested hypotheses. J. Econometrics 19, 301-318.
    • (1982) J. Econometrics , vol.19 , pp. 301-318
    • White, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.