On a Distribution Arising in the Context of Comparative Model Performance Evaluation Problems

Panaretos, John and Psarakis, Stelios and Xekalaki, Evdokia (1998): On a Distribution Arising in the Context of Comparative Model Performance Evaluation Problems. Published in: PROCEEDINGS OF THE 13TH INTERNATIONAL WORKSHOP ON STATISTICAL MODELLING (1998): pp. 470-473.

Abstract

The paper deals with a distribution that arises as the distribution of a sample statistic used to compare the predictive ability of two competing linear models. It is defined as the distribution of the ratio of two correlated gamma variables and its probabilities are tabulated in order that they become readily available for practical use

• Item Type: MPRA Paper
• Language: English
• Keywords: Model selection, Bivariate gamma distribution, F distribution
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General