J.G. de Gooijer
- MDL mean function selection in semiparametric kernel regression models
- Communications in Statistics: Theory and Methods
- Volume | Issue number
- 37 | 14
- Pages (from-to)
- Number of pages
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
- We study the problem of selecting the optimal functional form among a set of non nested, nonlinear mean functions for a semiparametric kernel based regression model. To this end we consider Rissanen's minimum description length (MDL) principle. We prove the consistency of the proposed MDL criterion. Its performance is examined via simulated data sets of univariate and bivariate nonlinear regression models.
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