University of Illinois Urbana-Champaign

Model selection: Consistency and robustness properties of the Schwarz Information Criterion for generalized M-estimation

Machado, Jose Antonio Ferreira

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https://hdl.handle.net/2142/21433

Description

Title
Model selection: Consistency and robustness properties of the Schwarz Information Criterion for generalized M-estimation
Author(s)
Machado, Jose Antonio Ferreira
Issue Date
1989
Doctoral Committee Chair(s)
Koenker, Roger W.
Department of Study
Economics
Discipline
Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
  • Statistics
  • Economics, Theory
Language
eng
Abstract
This thesis main focus are the robustness properties of the Schwarz Information Criterion (SIC) based on sample objective functions defining (Bias) robust M-estimators. The Bayesian underpinnings of such a criterion are established by extending Schwarz's original framework to densities not belonging to the exponential family. A definition of qualitative robustness appropriate for model selection is provided and it is shown that the crucial restriction needed to achieve robustness is the uniform boundedness of the objective function defining Bias robust M-estimators. In this process, the asymptotic performance of the SIC for generalized M-estimators is also studied. The finite sample behavior of the SIC for different types of M-estimators is analyzed by means of Monte Carlo experiments.
Type of Resource
text
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http://hdl.handle.net/2142/21433
Copyright and License Information
Copyright 1989 Machado, Jose Antonio Ferreira

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