Communications for Statistical Applications and Methods

  • 제8권3호
  • /
  • Pages.589-601
  • /
  • 2001
  • /
  • 2287-7843(pISSN)
  • /
  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

Overfitting Probabilities using Dependent F-tests in Regression

  • Park, Chan-Keun (Full-time Instructor, Divistion of Applied Science, Korea, Maritime University, Pusan, 606-791)
  • 발행 : 2001.12.01
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초록

Probabilities of overfilling for model selection criteria are derived for several different situations. First, one candidate model with one extra variable is compared to the current model. This is expanded to m candidate models. We show that these comparisons are not independent and discuss ovefitting probabilities. Correlation between two F-tests is derived. Finally, probabilities are computed using the dependent F distributions and F distributions based on order statistics of independent Chi-squares.

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참고문헌

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