Selection of the number of regression variables; A minimax choice of generalized FPE
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Publication:1089707
DOI10.1007/BF02482533zbMath0619.62060OpenAlexW2089299406MaRDI QIDQ1089707
Publication date: 1986
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02482533
AICnested modelsgeneralized Final Prediction Errorgeneralized FPEmean squared error of estimatesminimax regret choiceregret type mean squared errorselection of the number of regression variables
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Cites Work
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- Statistical predictor identification
- Approximate efficiency of a selection procedure for the number of regression variables
- 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
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