Affiliations: Department of Statistics, Shivaji University, Kolhapur, Maharashtra, India
Corresponding author: D.M. Sakate, Department of Statistics, Shivaji University, Kolhapur, Maharashtra, India. Tel.: +91 231 260 9243; E-mail: [email protected].
Abstract: In this article, we propose a model selection criterion based on the cumulative distribution function (CDF) of response variable called distribution function based criterion (DFC). The DFC is obtained by penalizing the scaled squared difference between CDFs of candidate model and full model. Under certain weak conditions, DFC is shown to be a consistent model selection criterion. We also discuss the use of DFC for link function selection. An extensive simulation study is performed to compare the performance of DFC with the existing methods.
Keywords: GLM, model selection, consistency, cumulative distribution function