2014
DOI: 10.1007/s10463-014-0491-8
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Fourier methods for model selection

Abstract: A test approach to the model selection problem based on characteristic functions (CFs) is proposed. The scheme is close to that proposed by Vuong (Econometrica 57:257-306, 1989), which is based on comparing estimates of the Kullback-Leibler distance between each candidate model and the true population. Other discrepancy measures could be used. This is specially appealing in cases where the likelihood of a model cannot be calculated or even, if it has a closed expression, it is either not easily tractable or n… Show more

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Cited by 16 publications
(6 citation statements)
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“…Second, the overall computational complexity of an inference procedure that uses the Fourier transform method and samples M candidate parameters is O (MN log N ). Performing the entire analysis in the Fourier domain requires only a single Fourier transform to determine the empirical 022409-4 This approach has been explored for use in goodness-of-fit testing and model selection [51,52], but only rarely for parameter inference [53]. However, we anticipate that the computational advantages may outweigh the incompatibility with Bayesian inference, similarly to the recent interest in using nonparametric Kolmogorov and Wasserstein distances for parameter inference [54][55][56].…”
Section: Resultsmentioning
confidence: 99%
“…Second, the overall computational complexity of an inference procedure that uses the Fourier transform method and samples M candidate parameters is O (MN log N ). Performing the entire analysis in the Fourier domain requires only a single Fourier transform to determine the empirical 022409-4 This approach has been explored for use in goodness-of-fit testing and model selection [51,52], but only rarely for parameter inference [53]. However, we anticipate that the computational advantages may outweigh the incompatibility with Bayesian inference, similarly to the recent interest in using nonparametric Kolmogorov and Wasserstein distances for parameter inference [54][55][56].…”
Section: Resultsmentioning
confidence: 99%
“…Secondly, the overall computational complexity of an inference procedure that uses the Fourier transform method and samples M candidate parameters is O(MN log N ). Performing the entire analysis in the Fourier domain requires only a single Fourier transform to determine the empirical characteristic function, reducing the computational complexity to O(N log N + MN ), equivalent to O(MN ) in the practical limit of large M. This approach is has been explored for use in goodness-of-fit testing and model selection [37,38], but only rarely for parameter inference [39]. However, we anticipate that the computational advantages may outweigh the incompatibility with Bayesian inference, similarly to the recent interest in using nonparametric Kolmogorov and Wasserstein distances for parameter inference [40][41][42].…”
Section: Resultsmentioning
confidence: 99%
“…Among them, it can be highlighted that the family of phi-divergences introduced by Csiszár in 1963 (see [10] (p. 1787)) has been extensively used in testing statistical hypotheses involving multinomial distributions. Examples in goodness-of-fit tests, homogeneity of two multinomial distributions and in model selection can be found in [11][12][13], among many others.…”
Section: Proposal To Test the Similarity Of Two Confusion Matricesmentioning
confidence: 99%