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Biometrika 1980 67(2):413-418; doi:10.1093/biomet/67.2.413
© 1980 by Biometrika Trust
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A note on the generalized information criterion for choice of a model

A. C. ATKINSON

Department of Mathematics, Imperial College London

One way of selecting models is to choose that model for which the maximized log likelihood minus a multiple of the number of parameters estimated is a maximum. This note explores the choice of values for the multiplier, with the value one corresponding to Akaike's information criterion. The relationship with Bayesian procedures is mentioned.

Key Words: Discrimination between models • Generalized AIO • Generalized C{nu} statistic • Model choice criteria • Posterior probabilities of models • Simulation of linear models.


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