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A small-sample correction for the Schwarz SIC model selection criterion. (English) Zbl 1087.62507

Summary: The relationship between AIC and AICc is used to derive the small-sample correction, SICc, for Schwarz’s SIC model selection criterion. Small-sample properties of SIC and SICc are discussed. Small-sample and large-scale simulation studies including nonnormal errors are presented as well. Consistent criteria are useful when there is a large number of extraneous variables in a study. Consistent criteria are less affected by the increased opportunity for overfitting.

MSC:

62J99 Linear inference, regression
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