Asymptotic mean efficiency of a selection of regression variables
From MaRDI portal
To compare different procedures for selection of regression variables, a mean efficiency concept is introduced, which is an extension of the concept of efficiency previously introduced by the author [Biometrika 68, 45-53 (1981; Zbl 0464.62054)]. Without any stronger assumption, we can show that the FPE procedure or the AIC procedure or the \(C_ p\) procedure are all asymptotically mean efficient, under the assumption that the number of regression variables be infinite or increase with the sample size.
Recommendations
- Approximate efficiency of a selection procedure for the number of regression variables
- Asymptotic properties of criteria for selection of variables in multiple regression
- scientific article; zbMATH DE number 109595
- Relation for joint densities of progressively censored order statistics
- scientific article; zbMATH DE number 3932229
- Asymptotic efficiency of method of moments estimators under null intercept measurement error regression models
Cites work
- A Bayesian analysis of the minimum AIC procedure
- A note on the generalized information criterion for choice of a model
- An optimal selection of regression variables
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Estimating the dimension of a model
- scientific article; zbMATH DE number 3502588 (Why is no real title available?)
- scientific article; zbMATH DE number 3591259 (Why is no real title available?)
- scientific article; zbMATH DE number 3635352 (Why is no real title available?)
- scientific article; zbMATH DE number 3444596 (Why is no real title available?)
- Selection of the order of an autoregressive model by Akaike's information criterion
- Statistical predictor identification
Cited in
(26)- Selection of the number of regression variables; A minimax choice of generalized FPE
- An effective selection of regression variables when the error distribution is incorrectly specified
- Model selection and prediction: Normal regression
- Restricted type II maximum likelihood priors on regression coefficients
- On improvability of model selection by model averaging
- Optimality of AIC in inference about Brownian motion
- Least-squares forecast averaging
- A criterion for optimal predictive model selection
- Empiricial comparison between some model selection criteria
- Approximate efficiency of a selection procedure for the number of regression variables
- A note on estimating the msep in nonlinear regression
- Prediction/estimation with simple linear models: is it really that simple?
- On the Asymptotic Efficiency of Directional Models Checks for Regression
- Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma
- Cross-validation for selecting a model selection procedure
- Statistical problem classes and their links to information theory
- p-Value adjustment to control type I errors in linear regression models
- Forecasting time series of economic processes by model averaging across data frames of various lengths
- Linear signed rank test for model selection
- Inference after separated hypotheses testing: an empirical investigation for linear models
- scientific article; zbMATH DE number 4184765 (Why is no real title available?)
- Optimal multistep VAR forecast averaging
- Asymptotic Optimality of Cp-Type Criteria in High-Dimensional Multivariate Linear Regression Models
- Consistent Bayesian information criterion based on a mixture prior for possibly high‐dimensional multivariate linear regression models
- Adaptive and efficient estimation in the Gaussian sequence model
- Model selection with the loss rank principle
This page was built for publication: Asymptotic mean efficiency of a selection of regression variables
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1057602)
