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IMPROVED ESTIMATION OF THE EXPECTED KULLBACK–LEIBLER DISCREPANCY IN CASE OF MISSPECIFICATION

Published online by Cambridge University Press:  01 June 1999

Erhard Reschenhofer
Erhard Reschenhofer
Affiliation:
Universität Wien
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Abstract

In case of misspecification, the Akaike information criterion (AIC; Akaike, 1973, in Petrov & Csaki, eds., Second International Symposium on Information Theory, pp. 267–281. Budapest: Akademia Kiado) is an asymptotically biased estimator of the expected Kullback–Leibler discrepancy. This paper gives simple expressions for the bias that can be used to construct improved estimators. However, for the examples that are considered in detail it turns out that model selection procedures based on such improved estimators are nearly equivalent to model selection procedures based on severely biased estimators.

Type
Research Article
Information
Econometric Theory , Volume 15 , Issue 3 , June 1999 , pp. 377 - 387
Copyright
© 1999 Cambridge University Press

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