The Focused Information Criterion

DOI10.1198/016214503000000819zbMath1045.62003OpenAlexW2067838071MaRDI QIDQ4468544

Nils Lid Hjort, Gerda Claeskens

Publication date: 10 June 2004

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214503000000819

zbMATH Keywords

logistic regressionvariable selectionAkaike's information criterionfocused information criterionbias and variance balancemoderate misspecification

Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12) Foundations and philosophical topics in statistics (62A01) Statistical aspects of information-theoretic topics (62B10)

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

The robust desparsified lasso and the focused information criterion for high-dimensional generalized linear models ⋮ Model averaging estimation for varying-coefficient single-index models ⋮ Model averaging based on rank ⋮ A model averaging approach for the ordered probit and nested logit models with applications ⋮ Model selection and model averaging after multiple imputation ⋮ ORDER SELECTION IN ARMA MODELS USING THE FOCUSED INFORMATION CRITERION ⋮ Robust model selection with covariables missing at random ⋮ An Akaike information criterion for multiple event mixture cure models ⋮ A comparison of two model averaging techniques with an application to growth empirics ⋮ Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion ⋮ AIC for the Lasso in generalized linear models ⋮ Choice of Estimators Based on Different Observations: Modified AIC and LCV Criteria ⋮ Using invalid instruments on purpose: focused moment selection and averaging for GMM ⋮ Model averaging for M-estimation ⋮ Model averaging procedure for varying-coefficient partially linear models with missing responses ⋮ Model averaging by jackknife criterion for varying-coefficient partially linear models ⋮ Valid post-selection inference ⋮ Parametric and semiparametric copula-based models for the regression analysis of competing risks ⋮ Choice of weights in FMA estimators under general parametric models ⋮ Measurement error correction in particle tracking microrheology ⋮ Focused information criterion and model averaging for varying-coefficient partially linear models with longitudinal data ⋮ Linear regression with bivariate response variable containing missing data. Strategies to increase prediction precision ⋮ Nonparametric C- and D-vine-based quantile regression ⋮ Model selection rates of information based criteria ⋮ Focused information criterion and model averaging in censored quantile regression ⋮ Estimating Lyapunov exponents on a noisy environment by global and local Jacobian indirect algorithms ⋮ Focused and Model Average Estimation for Regression Analysis of Panel Count Data ⋮ AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS ⋮ Model robust inference with two-stage maximum likelihood estimation for copulas ⋮ Minimizing sensitivity to model misspecification ⋮ Bridge estimators and the adaptive Lasso under heteroscedasticity ⋮ The focussed information criterion for generalised linear regression models for time series ⋮ Efficient shrinkage in parametric models ⋮ Forecasting time series of economic processes by model averaging across data frames of various lengths ⋮ Bootstrapping some GLM and survival regression variable selection estimators ⋮ Mathematical issues in the inference of causal interactions among multichannel neural signals ⋮ Focused model selection for linear mixed models with an application to whale ecology ⋮ A robust model averaging approach for partially linear models with responses missing at random ⋮ Focused information criterion and model averaging for generalized additive partial linear models ⋮ Model assessment tools for a model false world ⋮ Variable selection strategies in survival models with multiple imputations ⋮ Model averaging for varying-coefficient partially linear measurement error models ⋮ Generalized predictive information criteria for the analysis of feature events ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Model selection and model averaging for analysis of truncated and censored data with measurement error ⋮ Model selection strategies for identifying most relevant covariates in homoscedastic linear models ⋮ Frequentist model averaging with missing observations ⋮ Parametric or nonparametric? A parametricness index for model selection ⋮ The optimal selection for restricted linear models with average estimator ⋮ CHALLENGES FOR ECONOMETRIC MODEL SELECTION ⋮ A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING ⋮ Focused Information Criterion for Capture–Recapture Models for Closed Populations ⋮ A High‐dimensional Focused Information Criterion ⋮ Change-point model selection via AIC ⋮ Focused information criterion and model averaging with generalized rank regression ⋮ Weighted-average least squares estimation of generalized linear models ⋮ The focused information criterion for logistic time series regression models under locally biased estimating functions ⋮ Bias-corrected Kullback-Leibler distance criterion based model selection with covariables missing at random ⋮ Approximating data ⋮ Remedying the Neyman–Scott phenomenon in model discrimination ⋮ Focused information criterion and model averaging based on weighted composite quantile regression ⋮ Simultaneous variable selection for heteroscedastic regression models ⋮ Variable selection in ROC regression ⋮ Focussed selection of the claim severity distribution ⋮ Quantitative magnetic resonance image analysis via the EM algorithm with stochastic variation ⋮ Goodness of Fit via Non-parametric Likelihood Ratios ⋮ What price semiparametric Cox regression? ⋮ The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities ⋮ Quantile regression under local misspecification ⋮ Model averaging for semiparametric additive partial linear models ⋮ Decision-based model selection ⋮ Imputation and post-selection inference in models with missing data: an application to colorectal cancer surveillance guidelines ⋮ Goodness-of-fit and confidence intervals of approximate models ⋮ A focused information criterion for graphical models ⋮ PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS ⋮ SHRINKAGE, PRETEST AND ABSOLUTE PENALTY ESTIMATORS IN PARTIALLY LINEAR MODELS ⋮ Evaluation and selection of models for out-of-sample prediction when the sample size is small relative to the complexity of the data-generating process ⋮ Model selection in the presence of incidental parameters ⋮ Predictive, finite-sample model choice for time series under stationarity and non-stationarity ⋮ Variable selection In regression models using global sensitivity analysis ⋮ Optimal portfolio choice: a minimum expected loss approach ⋮ A criterion for local model selection ⋮ An assessment of empirical Bayes and composite estimators for small areas ⋮ MINIMIZING AVERAGE RISK IN REGRESSION MODELS ⋮ Bootstrapping multiple linear regression after variable selection ⋮ Optimal selection of sample-size dependent common subsets of covariates for multi-task regression prediction ⋮ Statistical estimation in the presence of possibly incorrect model assumptions ⋮ Focused information criterion on predictive models in personalized medicine ⋮ Focused Information Criterion and Model Averaging in Quantile Regression ⋮ Stein-like 2SLS estimator ⋮ Distribution theory of the least squares averaging estimator ⋮ Model selection and model averaging for semiparametric partially linear models with missing data ⋮ Interval Estimation by Frequentist Model Averaging ⋮ Comparing Normal Random Samples, with Uncertainty About the Priors and Utilities ⋮ Generalized Additive Models for Location, Scale and Shape ⋮ On model selection and model misspecification in causal inference ⋮ The focused information criterion for varying-coefficient partially linear measurement error models ⋮ A focused information criterion for graphical models in fMRI connectivity with high-dimensional data ⋮ A nonparametric method for identifying structural damage in bridges based on the best-fit auto-regressive models

This page was built for publication: The Focused Information Criterion