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.


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