A Simulation Study for the AIC and Likelihood Cross-validation: The Case of Exponential Versus Weibull Distributions
Journal of Advances in Mathematics and Computer Science · pp. 1–13 · Published 13 Aug 2018
10.9734/JAMCS/2018/43344Abstract
Various methods are available for choosing statistical models. It is difficult to know which model selection criterion is the best for specific data. This paper discusses a method for choosing the model selection criterion based on the characteristics of the data and models. As an example, we examined the choice between AIC and likelihood cross-validation as the model selection criterion with the exponential distribution and Weibull distribution as candidate models. First, we examined the characteristics of AIC and likelihood cross-validation using data generated from an exponential distribution or Weibull distribution; AIC and likelihood cross-validation show substantially different natures. Next, from the results of the numerical simulations, we propose an intuitive method for deciding whether to use AIC or likelihood cross-validation.
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