Law of Iterated Logarithm and Strong Consistency in Poisson Regression Model Selection
Keywords:
Law of iterated logarithm, Poisson regression, Maximum likelihood estimator, Model selection, Strong consistency.Abstract
In this paper we first derive a law of iterated logarithm for the maximum likelihood estimator of the parameters in a Poisson regression model. We then use this result to establish the strong consistency of a class of model selection criteria in Poisson regression model selection. We show that under some general conditions, a model selection criterion, which consists of a minus maximum log-likelihood and a penalty term, will select the simplest correct model almost surely if the penalty term increases with model dimension and has an order in between $O(\log\log n)$ and $O(n)$.Downloads
Published
2010-05-22
Issue
Section
Special Issue on Granger Econometrics and Statistical Modeling
License
Upon acceptance of an article by the journal, the author(s) accept(s) the transfer of copyright of the article to European Journal of Pure and Applied Mathematics.
European Journal of Pure and Applied Mathematics will be Copyright Holder.
How to Cite
Law of Iterated Logarithm and Strong Consistency in Poisson Regression Model Selection. (2010). European Journal of Pure and Applied Mathematics, 3(3), 417-434. https://ejpam.com/index.php/ejpam/article/view/515