1. ABDELAZIZ ALOUI - LPAIS, FSDM, University Sidi Mohamed Ben Abdellah, Fez, Morocco.
2. HASSANIA HAMZAOUI - LPAIS, FSDM, University Sidi Mohamed Ben Abdellah, Fez, Morocco.
3. ABDELAZIZ EL MATOUAT - LMMPA, ENS, University Sidi Mohamed Ben Abdellah, Fez, Morocco.
University Le Havre Normandie, Le Havre, France.
In this paper, we study the problem of jointly selecting the number of components and explanatory variables for multivariate mixture regression models. In practice, the selection model using the Akaike Information Criterion AIC is not satisfactory, as it can lead to an overestimation of the number of components and the number of explanatory variables. To improve selection, Naik et al. (2007) developed a new criterion based on Akaike’s technique, the Mixture Regression Criterion MRC for the simultaneous determination of the number of components and explanatory variables for univariate mixture regression models. We propose a generalization of the criterion MRC for multivariate mixture regression models. The performance of the new criterion is validated on simulated data by comparing it to the Akaike criterion AIC and the Schwarz criterion BIC
Model Selection, Information Criteria, Criterion 𝑀𝑅𝐶, Multivariate Mixture Regression Models.