On the convergence rate of model selection criteria

DOI10.1080/03610929308831184zbMath0785.62073OpenAlexW2099931585MaRDI QIDQ4275842

Ping Zhang

Publication date: 26 April 1994

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929308831184

zbMATH Keywords

convergence ratesmodel selection criteriaEdgeworth expansionAICBICconsistent criterianormally distributed errorsinconsistent criterianearly optimal convergence rate

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (9)

A scalable multi-step least squares method for network identification with unknown disturbance topology ⋮ Performance of information criteria for selection of Hawkes process models of financial data ⋮ Combining Multiple Biomarker Models in Logistic Regression ⋮ Consistent model selection based on parameter estimates. ⋮ Model selection for stock prices data ⋮ Bayesian model selection and model averaging ⋮ AN IN-DEPTH LOOK AT HIGHEST POSTERIOR MODEL SELECTION ⋮ Convergence rates of the generalized information criterion ⋮ On the underfitting and overfitting sets of models chosen by order selection criteria.

Cites Work

• Estimating the dimension of a model
• On model selection and the arc sine laws
• How Many Variables Should be Entered in a Regression Equation?
• An optimal selection of regression variables
• On the Distributional Properties of Model Selection Criteria
• Variable Selection in Nonparametric Regression with Categorical Covariates
• On Multivariate Edgeworth Expansions

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