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2011 Apr 04
0
AIC for robust regression
I am interested in comparing the fit of robust (i.e., S and MM) and non-robust (i.e., OLS) estimators when applied to a particular data set. The paper entitled "A comparison of robust versions of the AIC based on M, S and MM-estimators" (available at: http://ideas.repec.org/p/ner/leuven/urnhdl123456789-274771.html) presents formulas for robust Akaike information criteria (AIC) for the M, S, and MM estimators. Unfortunately, these omit the term {n + n*ln(2*pi)} that is included in the standard AIC formula used by R's AIC function. Would it be appropriate to either (1) include the term in the...