Information Criteria for Discriminating Among Alternative Regression Models

Some decision rules for discriminating among alternative regression models are proposed and mutually compared. They are essentially based on the Akaike Information Criterion as well as the Kullback-Leibler Information Criterion (KLIC) : namely, the distance between a postulated model and the true unknown structure is measured by the KLIC. The proposed criteria combine the parsimony of parameters with the goodness of fit. Their relationships with conventional criteria are discussed in terms of a new concept of unbiasedness .