Consider the problem of estimating true density, h(.) based upon a random sample X1,…, Xn. In general, h(.)is approximated using an appropriate in some sense, see below) model fƟ(x). This article using Vuong's (1989) test along with a collection of k(>2)non-nested models constructs a set of appropriate models, say model confidence set, for unknown model h(.).Application of such confidence set has been confirmed through a simulation study.
Barmalzan G, Payandeh Najafabad T. Model Confidence Set Based on Kullback-Leibler Divergence Distance. JSRI 2013; 9 (2) :179-193 URL: http://jsri.srtc.ac.ir/article-1-63-en.html