Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set

DOI10.1214/AOS/1176350486zbMath0653.62037OpenAlexW2056481711MaRDI QIDQ1107927

Ker-Chau Li

Publication date: 1987

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350486

zbMATH Keywords

model selectionlinear estimatorsasymptotic optimalityStein estimatesdelete- one cross validationgeneral cross validationMallows procedurenearest neighbour estimatesnearest neighbour nonparametric regression

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Nonparametric estimation (62G05) Linear inference, regression (62J99) Nonparametric inference (62G99)

Related Items (only showing first 100 items - show all)

Concentration inequalities of the cross-validation estimator for empirical risk minimizer ⋮ COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS ⋮ Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency ⋮ Optimal Model Averaging Based on Generalized Method of Moments ⋮ Model selection for (auto-)regression with dependent data ⋮ The optimal choice of moments in dynamic panel data models ⋮ Consistent model specification tests based on \(k\)-nearest-neighbor estimation method ⋮ Adaptivity and Oracle Inequalities in Linear Statistical Inverse Problems: A (Numerical) Survey ⋮ PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE? ⋮ Model averaging by jackknife criterion for varying-coefficient partially linear models ⋮ Augmented factor models with applications to validating market risk factors and forecasting bond risk premia ⋮ Fitting smoothing splines to data from multiple sources ⋮ Complete subset averaging approach for high-dimensional generalized linear models ⋮ Frequentist model averaging for envelope models ⋮ Estimating the Kullback–Liebler risk based on multifold cross‐validation ⋮ Artificial neural networks: an econometric perspective^∗ ⋮ Asymptotic Optimality of Cp-Type Criteria in High-Dimensional Multivariate Linear Regression Models ⋮ IDENTIFICATION AND THE INFLUENCE FUNCTION OF OLLEY AND PAKES’ (1996) PRODUCTION FUNCTION ESTIMATOR ⋮ Penalized wavelet nonparametric univariate logistic regression for irregular spaced data ⋮ Adaptive and efficient estimation in the Gaussian sequence model ⋮ Penalized time-varying model averaging ⋮ Time series cross validation: a theoretical result and finite sample performance ⋮ The asymptotic average squared error for polynomial regression ⋮ A nonparametric predictive regression model using partitioning estimators based on Taylor expansions ⋮ Model averaging for estimating treatment effects ⋮ A robust model averaging approach for partially linear models with responses missing at random ⋮ Model averaging prediction by \(K\)-fold cross-validation ⋮ Optimal Integrating Learning for Split Questionnaire Design Type Data ⋮ When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage ⋮ Time-varying forecast combination for factor-augmented regressions with smooth structural changes ⋮ Simple Local Polynomial Density Estimators ⋮ Unnamed Item ⋮ Parsimonious Model Averaging With a Diverging Number of Parameters ⋮ Model averaging with covariates that are missing completely at random ⋮ Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma ⋮ Cross-Validation With Confidence ⋮ SURE Estimates for a Heteroscedastic Hierarchical Model ⋮ Consistency of cross validation for comparing regression procedures ⋮ Optimality of AIC in inference about Brownian motion ⋮ Selection Strategy for Covariance Structure of Random Effects in Linear Mixed-effects Models ⋮ High-dimensional regression with unknown variance ⋮ Model selection in the presence of incidental parameters ⋮ Estimator of prediction error based on approximate message passing for penalized linear regression ⋮ Pricing bounds and bang-bang analysis of the Polaris variable annuities ⋮ INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS ⋮ Regular, median and Huber cross‐validation: A computational comparison ⋮ LOCALIZED MODEL SELECTION FOR REGRESSION ⋮ A Model-Averaging Approach for High-Dimensional Regression ⋮ Performance of Wald-type estimator for parametric component in partial linear regression with a mixture of Berkson and classical error models ⋮ Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE? ⋮ INFERENCE IN NONPARAMETRIC SERIES ESTIMATION WITH SPECIFICATION SEARCHES FOR THE NUMBER OF SERIES TERMS ⋮ A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING ⋮ Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics ⋮ A test of normality using nonparametrlic residuals ⋮ Parameter Choices for Fast Harmonic Spline Approximation ⋮ Test of Significance in order selection ⋮ Adaptive parametric test in a semiparametric regression model ⋮ OPTIMAL MULTISTEP VAR FORECAST AVERAGING ⋮ Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models ⋮ On asymptotic risk of selecting models for possibly nonstationary time-series ⋮ Determination of different types of fixed effects in three-dimensional panels* ⋮ Generalized Least Squares Model Averaging ⋮ Nonparametric Knn estimation with monotone constraints ⋮ Nonparametric Wavelet Regression for Binary Response ⋮ Model selection and model averaging for matrix exponential spatial models ⋮ Model averaging estimation for varying-coefficient single-index models ⋮ On cross-validated Lasso in high dimensions ⋮ Stable prediction in high-dimensional linear models ⋮ Statistical properties of the method of regularization with periodic Gaussian reproducing kernel ⋮ Surprises in high-dimensional ridgeless least squares interpolation ⋮ Penalized log-likelihood estimation for partly linear transformation models with current status data ⋮ Minimal penalties for Gaussian model selection ⋮ Least-squares forecast averaging ⋮ Generalized empirical likelihood for nonsmooth estimating equations with missing data ⋮ Mallows model averaging with effective model size in fragmentary data prediction ⋮ Posterior consistency of \(g\)-prior for variable selection with a growing number of parameters ⋮ Adaptive density estimation using the blockwise Stein method ⋮ From finite sample to asymptotics: a geometric bridge for selection criteria in spline regression ⋮ On improvability of model selection by model averaging ⋮ Model selection: a Lagrange optimization approach ⋮ Efficient estimation of variance components in nonparametric mixed-effects models with large samples ⋮ Pointwise convergence in probability of general smoothing splines ⋮ Nonlinear black-box models in system identification: Mathematical foundations ⋮ Adaptation over parametric families of symmetric linear estimators ⋮ Empirical risk minimization as parameter choice rule for general linear regularization methods ⋮ Regularization in statistics ⋮ A variable selection criterion for linear discriminant rule and its optimality in high dimensional and large sample data ⋮ Frequentist model averaging for threshold models ⋮ Toward optimal model averaging in regression models with time series errors ⋮ Asymptotic optimality of the nonnegative garrote estimator under heteroscedastic errors ⋮ Copula-based regression models with data missing at random ⋮ Extended differential geometric LARS for high-dimensional GLMs with general dispersion parameter ⋮ Segmentation of the mean of heteroscedastic data via cross-validation ⋮ Spatial weights matrix selection and model averaging for spatial autoregressive models ⋮ Model selection by resampling penalization ⋮ Self-concordant analysis for logistic regression ⋮ Model averaging by jackknife criterion in models with dependent data ⋮ Adaptively combined forecasting for discrete response time series ⋮ Is \(C_{p}\) an empirical Bayes method for smoothing parameter choice? ⋮ Asymptotic optimality of full cross-validation for selecting linear regression models

This page was built for publication: Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set