Model selection and prediction: Normal regression

DOI10.1007/BF00773667zbMath0774.62093OpenAlexW2011438897MaRDI QIDQ1260697

Bin Yu, Terence P. Speed

Publication date: 25 August 1993

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

Full work available at URL: https://doi.org/10.1007/bf00773667

zbMATH Keywords

model selection criteriaAICBICFPE criterionprediction errorsaccumulatd prediction error criterionAPEfinite-dimensional normal regression modelsfinite-dimensional vs. infinite-dimensional model assumptionsprediction lower boundprediction with refittingprediction without refittingstochastic complexity criterionupper bounds on overfitting and underfitting probabilities

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear inference, regression (62J99) Statistical aspects of information-theoretic topics (62B10)

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