CMStatistics 2018: Start Registration
View Submission - CMStatistics
B1122
Title: Jensen-Shannon divergence as a goodness-of-fit measure for maximum likelihood estimation and curve fitting Authors:  Mark Levene - Birkbeck University of London (United Kingdom) [presenting]
Abstract: The coefficient of determination, known as $R^2$, is commonly used as a goodness-of-fit criterion for fitting linear models. $R^2$ is somewhat controversial when fitting nonlinear models, although it may be generalised on a case-by-case basis to deal with specific models such as the logistic model. Assume we are fitting a parametric distribution to a data set using the maximum likelihood estimation method. A general approach to measure the goodness-of-fit of the fitted parameters, which we advocate herein, is to use a nonparametric measure for model comparison between the raw data and the fitted model. In particular, for this purpose we put forward the {\em Jensen-Shannon divergence} (JSD) as a metric, which is bounded and has an intuitive information-theoretic interpretation. We demonstrate, via a straightforward procedure making use of the JSD, that it can be used as part of maximum likelihood estimation or curve fitting as a measure of goodness-of-fit, including the construction of a confidence interval for the fitted parametric distribution. We also propose that the JSD can be used more generally in nonparametric hypothesis testing for model selection.