Asymptotic mean efficiency of a selection of regression variables

DOI10.1007/BF02480998MaRDI QIDQ1057602zbMATH OpenOpenAlexFDO

Authors Ritei Shibata

Publication date 1983

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

Full work available at URL https://doi.org/10.1007/bf02480998

zbMATH Keywords

AIC procedureC sub(p) procedureFPE proceduremean efficiencyselection of regression variables

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Linear regression; mixed models (62J05)

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Cites work

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• 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
• Selection of the order of an autoregressive model by Akaike's information criterion
• Statistical predictor identification

Cited in

(26)

• Approximate efficiency of a selection procedure for the number of regression variables
• Inference after separated hypotheses testing: an empirical investigation for linear models
• Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma
• A note on estimating the msep in nonlinear regression
• Cross-validation for selecting a model selection procedure
• An effective selection of regression variables when the error distribution is incorrectly specified
• On the Asymptotic Efficiency of Directional Models Checks for Regression
• Restricted type II maximum likelihood priors on regression coefficients
• Adaptive and efficient estimation in the Gaussian sequence model
• Forecasting time series of economic processes by model averaging across data frames of various lengths
• Linear signed rank test for model selection
• scientific article; zbMATH DE number 4184765 (Why is no real title available?)
• Least-squares forecast averaging
• Empiricial comparison between some model selection criteria
• Prediction/estimation with simple linear models: is it really that simple?
• Consistent Bayesian information criterion based on a mixture prior for possibly high‐dimensional multivariate linear regression models
• Model selection and prediction: Normal regression
• Model selection with the loss rank principle
• Selection of the number of regression variables; A minimax choice of generalized FPE
• Optimality of AIC in inference about Brownian motion
• A criterion for optimal predictive model selection
• Statistical problem classes and their links to information theory
• p-Value adjustment to control type I errors in linear regression models
• Optimal multistep VAR forecast averaging
• On improvability of model selection by model averaging
• Asymptotic Optimality of Cp-Type Criteria in High-Dimensional Multivariate Linear Regression Models

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