On Fri, 2 Sep 2011, Patrick Breheny wrote:
On 09/02/2011 08:48 AM, John Sorkin wrote:
I believe when using BIC one needs to compare nested models
This is wrong. Hypothesis tests rely on nested models; information criteria
do not.
Actually, this is off-topic on this list. But blanket statements are
often themselves untrue: there are hypothesis tests of non-nested
models (most famously due to Cox, 1961), and Akaike explicitly
considered only nested models in his paper introducing AIC.
Certainly criteria such as AIC and BIC (in the sense of Schwarz: there
are several criteria of that name) can be used with non-nested models
but are much sharper tools for nested models.
--
Patrick Breheny
Assistant Professor
Department of Biostatistics
Department of Statistics
University of Kentucky
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--
Brian D. Ripley, rip...@stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
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Oxford OX1 3TG, UK Fax: +44 1865 272595
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