Asymptotic mean efficiency of a selection of regression variables

DOI10.1007/BF02480998zbMath0563.62043OpenAlexW1965873257MaRDI QIDQ1057602

Ritei Shibata

Publication date: 1983

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02480998

zbMATH Keywords

AIC procedureC sub(p) procedureFPE proceduremean efficiencyselection of regression variables

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Statistical aspects of information-theoretic topics (62B10)

Related Items (22)

Selection of the number of regression variables; A minimax choice of generalized FPE ⋮ Least-squares forecast averaging ⋮ Inference after separated hypotheses testing: an empirical investigation for linear models ⋮ On improvability of model selection by model averaging ⋮ PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE? ⋮ Statistical Problem Classes and Their Links to Information Theory ⋮ Asymptotic Optimality of Cp-Type Criteria in High-Dimensional Multivariate Linear Regression Models ⋮ Consistent Bayesian information criterion based on a mixture prior for possibly high‐dimensional multivariate linear regression models ⋮ p-Value adjustment to control type I errors in linear regression models ⋮ Forecasting time series of economic processes by model averaging across data frames of various lengths ⋮ Adaptive and efficient estimation in the Gaussian sequence model ⋮ A note on estimating the msep in nonlinear regression ⋮ Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma ⋮ Cross-validation for selecting a model selection procedure ⋮ A Criterion for Optimal Predictive Model Selection ⋮ Model selection with the loss rank principle ⋮ Linear Signed Rank Test for Model Selection ⋮ Optimality of AIC in inference about Brownian motion ⋮ Model selection and prediction: Normal regression ⋮ Empiricial Comparison between Some Model Selection Criteria ⋮ Restricted type II maximum likelihood priors on regression coefficients ⋮ OPTIMAL MULTISTEP VAR FORECAST AVERAGING

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• A Bayesian analysis of the minimum AIC procedure
• Estimating the dimension of a model
• Statistical predictor identification
• A note on the generalized information criterion for choice of a model
• An optimal selection of regression variables
• Selection of the order of an autoregressive model by Akaike's information criterion

This page was built for publication: Asymptotic mean efficiency of a selection of regression variables