Wilcoxon-type Generalized Bayesian Information Criterion

  title={Wilcoxon-type Generalized Bayesian Information Criterion},
  author={A. U.S.},
  • A. U.S.
  • Published 2008
We develop a generalized Bayesian information criterion for regression model selection. The new criterion relaxes the usually strong distributional assumption associated with Schwarz’s bic by adopting a Wilcoxon-type dispersion function and appropriately adjusting the penalty term. We establish that the Wilcoxon-type generalized bic preserves the consistency property of Schwarz’s bic without the need to assume a parametric likelihood. We also show that it outperforms Schwarz’s bic with heavier… CONTINUE READING
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