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The Kullback information criterion, KIC and its univariate bias-corrected version, KICc may be viewed as estimators of the expected Kullback–Leibler symmetric divergence. This correspondence examines the overfitting properties of KIC and KICc through the probabilities of overfitting both in finite samples and asymptotically. It is shown that KIC and KICc have much smaller probabilities of overfitting...
The Kullback Information Criterion, KIC, and its univariate bias-corrected version, KICc, are two new developed criteria for model selection. The two criteria can be viewed as estimators of the expected Kullback symmetric divergence and they have a fixed bias corrected term. In this paper, a new small sample model selection criterion for multivariate regression models is developed. The proposed criterion...
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