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I wonder if there is any theory or work about the "similarity" of two regression models. For example, if it is linear regression, the "similarity" could be defined by the l-2 distance between the coefficients vectors of the two models. Let's assume they are in the same hypothesis space (parameter space) and is fitted with the same dataset.

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closed as unclear what you're asking by gung Apr 30 at 15:30

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  • $\begingroup$ Are both models fitted using the same dataset? $\endgroup$ – Estacionario Apr 11 at 15:04
  • $\begingroup$ At least if the parameter space is the same you could use the Le Cam distance, see hal.archives-ouvertes.fr/hal-01314223/document for an accessible introduction. $\endgroup$ – user1587692 Apr 11 at 15:10
  • $\begingroup$ Yes there are fitted using the same dataset and is in the same hypothesis space. $\endgroup$ – ZUN LI Apr 11 at 15:12
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    $\begingroup$ Of course one can construct mathematical definitions like this--but to what end? What would your objective be? Until we know that, it's hard to see that there's any statistical question here. $\endgroup$ – whuber Apr 11 at 16:06