Model selection in orthogonal regression

DOI10.1016/S0167-7152(99)00076-0MaRDI QIDQ1808690zbMATH OpenOpenAlexWikidataFDO

Authors Allan McQuarrie, Chih-Ling Tsai

Publication date 9 February 2000

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(99)00076-0

zbMATH Keywords

AICasymptotic propertiesconsistencyefficiencySICstepwise F-tests

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Sequential statistical analysis (62L10)

Review text

We develop the relationship between the stepwise \(F\)-test model selection criteria and information-based criteria for orthogonal regression models. We obtain the asymptotic properties of the stepwise \(F\)-tests with respect to efficiency and consistency. The performance of the \(F\)-test as well as other efficient and consistent criteria are compared via a large scale simulation study. The results indicate that three of the \(F\)-test criteria should be considered for routine data analysis.

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Cited in

(4)

• A consistent model selection for orthogonal regression under component-wise shrinkage
• Iterative selection using orthogonal regression techniques
• scientific article; zbMATH DE number 3954082 (Why is no real title available?)
• Selection and comparison of regression models: Estimation of torque-angle relationships

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