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On a Distribution Arising in the Context of Comparative Model Performance Evaluation Problems

Author

Listed:
  • Panaretos, John
  • Psarakis, Stelios
  • Xekalaki, Evdokia

Abstract

The paper deals with a distribution that arises as the distribution of a sample statistic used to compare the predictive ability of two competing linear models. It is defined as the distribution of the ratio of two correlated gamma variables and its probabilities are tabulated in order that they become readily available for practical use

Suggested Citation

  • Panaretos, John & Psarakis, Stelios & Xekalaki, Evdokia, 1998. "On a Distribution Arising in the Context of Comparative Model Performance Evaluation Problems," MPRA Paper 6276, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:6276
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    File URL: https://mpra.ub.uni-muenchen.de/6276/1/MPRA_paper_6276.pdf
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    References listed on IDEAS

    as
    1. Panaretos, John & Psarakis, Stelios & Xekalaki, Evdokia & Karlis, Dimitris, 2005. "The Correlated Gamma-Ratio Distribution in Model Evaluation and Selection," MPRA Paper 6355, University Library of Munich, Germany.
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    1. Xekalaki, Evdokia & Panaretos, John & Psarakis, Stelios, 2003. "A Predictive Model Evaluation and Selection Approach - The Correlated Gamma Ratio Distribution," MPRA Paper 6389, University Library of Munich, Germany.

    More about this item

    Keywords

    Model selection; Bivariate gamma distribution; F distribution;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

    Statistics

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