Papers by Kyriacos Mattheou
The measures of divergence are powerful tools used in measuring the distance or affinity between ... more The measures of divergence are powerful tools used in measuring the distance or affinity between two probability distributions for the purpose of association, clustering, or classification of the distributions involved. The measures of divergence together with the measures of information have a ...
The aim of this work is to develop a new model selection criterion using a general discrepancy ba... more The aim of this work is to develop a new model selection criterion using a general discrepancy based technique, by constructing an asymptotically unbiased estimator of the overall average discrepancy between the true and the fitted models. Furthermore, the lower bound for the mean squared error of prediction is established.
Communications in Statistics-theory and Methods, 2010
The aim of this work is the investigation of a generalized family of measures of divergence which... more The aim of this work is the investigation of a generalized family of measures of divergence which includes the well known Csiszár's, Cressie and Read's and the measures as well as a generalization of Csiszár's measure. A weakly consistent estimator of the generalized measure of divergence is proposed and its sampling properties and the corresponding asymptotic distribution are obtained. Finally, tests for multinomial populations are constructed and simulations are performed.
Department of Mathematics and Statistics, University of Cyprus, Cyprus, [email protected] ... Abstra... more Department of Mathematics and Statistics, University of Cyprus, Cyprus, [email protected] ... Abstract: The aim of this work is the investigation of tests of fit for multinomial distributions based on the Φ-family of test statistics for goodness of fit (gof) tests [Mattheou and Karagrigoriou, ...
254 Int. J. Computational Economics and Econometrics, Vol. 1, Nos. 3/4, 2010 ... Vector autoregre... more 254 Int. J. Computational Economics and Econometrics, Vol. 1, Nos. 3/4, 2010 ... Vector autoregressive order selection and forecasting via the modified divergence information criterion ... Department of Statistics, University of Lund, Box 743, 22007 Lund, Sweden E-mail: ...
Methodology and Computing in Applied Probability
In this paper we unify the different measures of divergence by introducing a general class of mea... more In this paper we unify the different measures of divergence by introducing a general class of measures of divergence, the ( , a)−power divergence family and investigate its main properties including the limiting property, the order preserving property, and the quadratic convergence. For the practical implications of the proposed class of measures, we examine its use in goodness of fit tests for multinomial populations. In particular, a test statistic for goodness of fit tests based on the proposed family of measures is investigated for small sample sizes and various multinomial distributions that include symmetric, skewed and equiprobable models.
This article compares traditional Model Selection Criteria with the recently proposed Divergence ... more This article compares traditional Model Selection Criteria with the recently proposed Divergence Information Criterion which is based on the BHHJ measure of divergence. We use Monte Carlo methods and different Data Generating Processes for small, medium and large sample sizes. The Divergence Information Criterion shows remarkable good results by choosing the correct model more frequently than the known traditional Information Criteria.
Communications in Statistics-simulation and Computation, 2010
Australian & New Zealand Journal of Statistics, 2010
The aim of this work is to investigate a new family of divergence measures based on the recently ... more The aim of this work is to investigate a new family of divergence measures based on the recently introduced Basu, Harris, Hjort and Jones (BHHJ) measure of divergence (Biometrika 85, 549-559). The new family is investigated in connection with hypothesis testing problems, and new test statistics are proposed. Simulations are performed to check the appropriateness of the proposed test statistics.
Journal of Statistical Computation and Simulation, 2010
ABSTRACT This paper deals with the implementation of model selection criteria to data generated b... more ABSTRACT This paper deals with the implementation of model selection criteria to data generated by ARMA processes. The recently introduced modified divergence information criterion is used and compared with traditional selection criteria like the Akaike information criterion (AIC) and the Schwarz information criterion (SIC). The appropriateness of the selected model is tested for one- and five-step ahead predictions with the use of the normalized mean squared forecast errors (NMSFE).
The aim of this work is to develop a new criterion of model selection using a general technique b... more The aim of this work is to develop a new criterion of model selection using a general technique based on measures of discrepancy. The new criterion is constructed using the Power Divergence introduced by Basu et. al (1998) and is shown to be an asymptotically unbiased estimator of the expected overall discrepancy between the true and the fitted models.
Journal of Statistical Planning and Inference, 2009
The aim of this work is the discussion and investigation of measures of divergence and model sele... more The aim of this work is the discussion and investigation of measures of divergence and model selection criteria. A recently introduced measure of divergence, the so-called BHHJ measure (Basu, A., Harris, I.R., Hjort, N.L., Jones, M.C., 1998. Robust and efficient estimation by minimising a density power divergence. Biometrika 85, 549--559) is investigated and a new model selection criterion the divergence information criterion (DIC) based on this measure is proposed. Simulations are performed to check the appropriateness of the proposed criterion.
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Papers by Kyriacos Mattheou