Model selection and prediction: Normal regression
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BICAICmodel selection criteriaFPE 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
Recommendations
- scientific article; zbMATH DE number 3903730
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- A Basis for the Selection of a Response Surface Design
- A Predictive Least-Squares Principle
- A new look at the statistical model identification
- A note on the generalized information criterion for choice of a model
- An optimal selection of regression variables
- Approximate efficiency of a selection procedure for the number of regression variables
- Asymptotic mean efficiency of a selection of regression variables
- Asymptotic properties of criteria for selection of variables in multiple regression
- Consistent Estimation of Minimal Subset Dimension
- Estimating Regression Models of Finite but Unknown Order
- Estimating the dimension of a model
- How Many Variables Should be Entered in a Regression Equation?
- Information Criteria for Discriminating Among Alternative Regression Models
- Linear Statistical Inference and its Applications
- On model selection and the arc sine laws
- On predictive least squares principles
- On the estimation of the order of a Markov chain and universal data compression
- Order selection for AR models by predictive least squares
- Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
- Selection of the number of regression variables; A minimax choice of generalized FPE
- Selection of the order of an autoregressive model by Akaike's information criterion
- Statistical predictor identification
- Stochastic complexity and modeling
- Strong consistency of least squares estimates in multiple regression II
- Strong consistency of the PLS criterion for order determination of autoregressive processes
- Universal coding, information, prediction, and estimation
Cited in
(16)- VAR forecasting under misspecification
- Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma
- Confidence sets centered at \(C_ p\)-estimators
- Asymptotically efficient model selection for panel data forecasting
- Global statistical information in exponential experiments and selection of exponential models
- Conducting sparse feature selection on arbitrarily long phrases in text corpora with a focus on interpretability
- Model selection based on minimum description length
- Asymptotically minimax regret procedures in regression model selection and the magnitude of the dimension penalty.
- Predictor selection for positive autoregressive processes
- Early stopping in \(L_{2}\)Boosting
- The predictive influence of variables in a Normal Regression Model
- Prediction/estimation with simple linear models: is it really that simple?
- Data compression and histograms
- Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
- Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems
- Cross-validation for selecting a model selection procedure
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