Chapter 12. Model selection

  1. Harry H. Panjer

Published Online: 6 MAR 2006

DOI: 10.1002/0470051310.ch12

Operational Risk: Modeling Analytics

Operational Risk: Modeling Analytics

How to Cite

Panjer, H. H. (2006) Model selection, in Operational Risk: Modeling Analytics, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/0470051310.ch12

Publication History

  1. Published Online: 6 MAR 2006
  2. Published Print: 25 AUG 2006

ISBN Information

Print ISBN: 9780471760894

Online ISBN: 9780470051313

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Keywords:

  • Kolmogorov-Smirnov test;
  • Anderson-Darling test;
  • chi-square goodness-of-fit test;
  • likelihood ratio test;
  • parsimony

Summary

This chapter contains sections titled:

  • Introduction

  • Representations of the Data and Model

  • Graphical Comparison of the Density and Distribution Functions

  • Hypothesis Tests

  • Selecting A Model

  • Exercises