Regression and ICOMP—A Simulation Study

摘要

A regression simulation study investigates the behaviour of ICOMP, AIC, and BIC under various collinearity-, sample size-, and residual variance-levels. When the variation in the design matrix is large, as the collinearity levels in the design matrix increased, the agreement percentages for all of the information criteria decreased monotonically and that ICOMP agreed with the Kullback Leibler model more often. As the residual variance increases, the agreement percentages of all of the information criteria decreases. However, as the sample size increased the agreement percentages of all information criteria increased. When the variation in the design matrix is low and the collinearity is low, as the residual variance increases, the agreement percentages for all of the information criteria decreases monotonically such that ICOMP agreed more often with Kullback Leibler model than both AIC and BIC.