All Questions
Tagged with likelihood-ratio model-selection
32
questions
1
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2
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81
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What AIC is necessary to select this model?
I have read this page but am a little confused and I think a real example might help solidify the idea in my mind regarding how to use the AIC in model selection.
Equivalence of AIC and p-values in ...
- 771
0
votes
0
answers
31
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Interprete AIC as significance test and determine significance level for nested models
Let's say we have two nested models.
The smaller one (corresponds to $H_0$) has $p_0$ parameters, so its AIC is given by $$AIC_0=-2\log L_0+2p_0$$
The larger model has $p_1:=p_0+d$ parameters of which ...
- 101
1
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1
answer
264
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How can we select the best GARCH model by carrying out likelihood ratio test?
I have carried out the likelihood ratios of different GARCH models.
GARCH(1,1) and GARCH(1,0)- Rejected null hypothesis so I chose GARCH(1,1) to do more sophistication.
GARCH(3,1) and GARCH(1,1)- ...
1
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2
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221
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the meaning of likelihood ratio test
I just learned the likelihood ratio test (LRT) method for model selection and worked out some examples. However, I am still a bit confused with the meaning of it.
Basically, for a family of model ...
- 167
1
vote
1
answer
75
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ANOVA selects a model with autocorrelated residuals
I want to know which temperature dataset (Aa1, Bb, Cc, Dd) is/are the best predictor for laying date (medini). First, I used simple linear regression: median...
- 287
3
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2
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1k
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Calculating the relative likelihood with AIC values
I'm using AIC for model selection, and would like to use a relative likelihood measure to quantify how many times a model with minimum AIC (AICmin) fits better than the alternative (with AICi).
For ...
- 334
6
votes
4
answers
1k
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Joint probability of multivariate normal distributions with missing dimensions
Suppose I conduct two experiments, each measuring a subset of possible parameters. From experiment #1 I measure two parameters and estimate the multivariate normal distribution
$$
\mathbf{X}_1=\left [...
- 195
2
votes
1
answer
12k
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Model selection by LR test: How to interpret the results?
I'm using lrtest to compare two models in Stata. When I get a p-value is 0.7673 that is greater than 0.05, does it mean model3 is better than the other model1? I wanted to learn how to interpret which ...
- 21
3
votes
0
answers
67
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Bayesian Decision Making (for particular problem)
I've read several papers why p-values should be replaced by Bayes factors and trying to use them.
What I have: say, I have matrix of 2000 rows and 1000 columns. In each column I need to make a ...
- 1,741
2
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1
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896
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Am I conducting this likelihood ratio test (selecting between GARCH and TGARCH) correctly?
I calculated log likelihoods for two times series models, a GARCH and a TGARCH. The GARCH model is nested within the TGARCH, and their respective log-likelihoods are:
\begin{aligned}
\text{LL_GARCH} ...
- 31
1
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1
answer
3k
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How to select GARCH lag for forecasting purpose (AIC+likelihood ratio)?
I modified this question to be more specific.
I'm fitting a ARIMA-GARCH model to my hedge fund index daily log return series. I used ACF, PACF, Ljung-Box test and Archtest to check for ...
- 23
6
votes
1
answer
2k
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AIC and BIC criterion for Model selection, how is it used in this paper?
I'm reading Model selection and inference: Facts and fiction by Leeb & Pötscher (2005) (link), in this paper they look at an example in linear regression:
Let $$Y_i = \alpha x_{i1}+\beta x_{i2}+\...
- 1,212
1
vote
1
answer
771
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AICC vs Log Likelihood in Arima
Which is best and why between 2 models A and B where :
Log likelihood of A < Log likelihood of B
AICC of A > AICC of B
Thanks for your replies
- 41
3
votes
1
answer
843
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How to combine the interpretation of LR test and AIC in backward model selection?
I am doing a model selection starting from the follwing full model (cma):
...
- 419
4
votes
1
answer
17k
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Model selection with LR test: how to interpret the result?
I'm using lrtest to compare two models in Stata. When I get a $p$-value of less than 0.05, does it mean one model is better than the other one? But which one is ...
- 41