Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set

DOI10.1214/aos/1176350486zbMath0653.62037OpenAlexW2056481711MaRDI QIDQ1107927

Publication date: 1987

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350486

zbMATH Keywords

model selection linear estimators asymptotic optimality Stein estimates delete- one cross validation general cross validation Mallows procedure nearest neighbour estimates nearest neighbour nonparametric regression

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Nonparametric estimation (62G05) Linear inference, regression (62J99) Nonparametric inference (62G99)

Related Items

Concentration inequalities of the cross-validation estimator for empirical risk minimizer, COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS, Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency, Optimal Model Averaging Based on Generalized Method of Moments, Model selection for (auto-)regression with dependent data, The optimal choice of moments in dynamic panel data models, Consistent model specification tests based on \(k\)-nearest-neighbor estimation method, Adaptivity and Oracle Inequalities in Linear Statistical Inverse Problems: A (Numerical) Survey, PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE?, Model averaging by jackknife criterion for varying-coefficient partially linear models, Augmented factor models with applications to validating market risk factors and forecasting bond risk premia, Fitting smoothing splines to data from multiple sources, Complete subset averaging approach for high-dimensional generalized linear models, Frequentist model averaging for envelope models, Estimating the Kullback–Liebler risk based on multifold cross‐validation, Artificial neural networks: an econometric perspective^∗, Asymptotic Optimality of Cp-Type Criteria in High-Dimensional Multivariate Linear Regression Models, IDENTIFICATION AND THE INFLUENCE FUNCTION OF OLLEY AND PAKES’ (1996) PRODUCTION FUNCTION ESTIMATOR, Penalized wavelet nonparametric univariate logistic regression for irregular spaced data, Adaptive and efficient estimation in the Gaussian sequence model, Penalized time-varying model averaging, Time series cross validation: a theoretical result and finite sample performance, The asymptotic average squared error for polynomial regression, A nonparametric predictive regression model using partitioning estimators based on Taylor expansions, Model averaging for estimating treatment effects, A robust model averaging approach for partially linear models with responses missing at random, Model averaging prediction by \(K\)-fold cross-validation, Optimal Integrating Learning for Split Questionnaire Design Type Data, When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage, Time-varying forecast combination for factor-augmented regressions with smooth structural changes, Simple Local Polynomial Density Estimators, Unnamed Item, Parsimonious Model Averaging With a Diverging Number of Parameters, Model averaging with covariates that are missing completely at random, Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma, Cross-Validation With Confidence, SURE Estimates for a Heteroscedastic Hierarchical Model, Consistency of cross validation for comparing regression procedures, Optimality of AIC in inference about Brownian motion, Selection Strategy for Covariance Structure of Random Effects in Linear Mixed-effects Models, High-dimensional regression with unknown variance, Model selection in the presence of incidental parameters, Estimator of prediction error based on approximate message passing for penalized linear regression, Pricing bounds and bang-bang analysis of the Polaris variable annuities, INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS, Regular, median and Huber cross‐validation: A computational comparison, LOCALIZED MODEL SELECTION FOR REGRESSION, A Model-Averaging Approach for High-Dimensional Regression, Performance of Wald-type estimator for parametric component in partial linear regression with a mixture of Berkson and classical error models, Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE?, INFERENCE IN NONPARAMETRIC SERIES ESTIMATION WITH SPECIFICATION SEARCHES FOR THE NUMBER OF SERIES TERMS, A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING, Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics, A test of normality using nonparametrlic residuals, Parameter Choices for Fast Harmonic Spline Approximation, Test of Significance in order selection, Adaptive parametric test in a semiparametric regression model, OPTIMAL MULTISTEP VAR FORECAST AVERAGING, Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models, On asymptotic risk of selecting models for possibly nonstationary time-series, Determination of different types of fixed effects in three-dimensional panels*, Generalized Least Squares Model Averaging, Nonparametric Knn estimation with monotone constraints, Nonparametric Wavelet Regression for Binary Response, Model selection and model averaging for matrix exponential spatial models, Model averaging estimation for varying-coefficient single-index models, On cross-validated Lasso in high dimensions, Stable prediction in high-dimensional linear models, Statistical properties of the method of regularization with periodic Gaussian reproducing kernel, Surprises in high-dimensional ridgeless least squares interpolation, Penalized log-likelihood estimation for partly linear transformation models with current status data, Minimal penalties for Gaussian model selection, Least-squares forecast averaging, Generalized empirical likelihood for nonsmooth estimating equations with missing data, Mallows model averaging with effective model size in fragmentary data prediction, Posterior consistency of \(g\)-prior for variable selection with a growing number of parameters, Adaptive density estimation using the blockwise Stein method, From finite sample to asymptotics: a geometric bridge for selection criteria in spline regression, On improvability of model selection by model averaging, Model selection: a Lagrange optimization approach, Efficient estimation of variance components in nonparametric mixed-effects models with large samples, Pointwise convergence in probability of general smoothing splines, Nonlinear black-box models in system identification: Mathematical foundations, Adaptation over parametric families of symmetric linear estimators, Empirical risk minimization as parameter choice rule for general linear regularization methods, Regularization in statistics, A variable selection criterion for linear discriminant rule and its optimality in high dimensional and large sample data, Frequentist model averaging for threshold models, Toward optimal model averaging in regression models with time series errors, Asymptotic optimality of the nonnegative garrote estimator under heteroscedastic errors, Copula-based regression models with data missing at random, Extended differential geometric LARS for high-dimensional GLMs with general dispersion parameter, Segmentation of the mean of heteroscedastic data via cross-validation, Spatial weights matrix selection and model averaging for spatial autoregressive models, Model selection by resampling penalization, Self-concordant analysis for logistic regression, Model averaging by jackknife criterion in models with dependent data, Adaptively combined forecasting for discrete response time series, Is \(C_{p}\) an empirical Bayes method for smoothing parameter choice?, Asymptotic optimality of full cross-validation for selecting linear regression models, The optimal selection for restricted linear models with average estimator, Model averaging based on James-Stein estimators, Optimal model averaging estimator for semi-functional partially linear models, Asymptotic theory of generalized information criterion for geostatistical regression model selection, On model selection from a finite family of possibly misspecified time series models, Forecasting with factor-augmented regression: a frequentist model averaging approach, Asymptotic analysis of the squared estimation error in misspecified factor models, Regularized LIML for many instruments, Cross-validation for selecting a model selection procedure, Model averaging based on leave-subject-out cross-validation for vector autoregressions, On consistency and optimality of Bayesian variable selection based on \(g\)-prior in normal linear regression models, Consistency of model averaging estimators, Prediction model averaging estimator, Smooth predictive model fitting in regression, A regularization approach to the many instruments problem, Least squares model averaging by Mallows criterion, Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters, Estimation of prediction error by using \(K\)-fold cross-validation, Adaptive estimation of mean and volatility functions in (auto-)regressive models., A new algorithm for fixed design regression and denoising, Comparing parameter choice methods for regularization of ill-posed problems, A survey of cross-validation procedures for model selection, Asymptotics of cross-validated risk estimation in estimator selection and performance assess\-ment, Efficient estimation of a semiparametric partially linear varying coefficient model, Time-varying model averaging, Shrinkage for categorical regressors, Model averaging prediction for time series models with a diverging number of parameters, Estimation of generalized additive models, Risk estimators for choosing regularization parameters in ill-posed problems -- properties and limitations, On regression model selection for the data with correlated errors, Automatic and asymptotically optimal data sharpening for nonparametric regression, Mallows criterion for heteroskedastic linear regressions with many regressors, Corrected Mallows criterion for model averaging, Jackknife model averaging, Estimating semiparametric panel data models by marginal integration, Multi-Resolution Functional ANOVA for Large-Scale, Many-Input Computer Experiments, New approaches to model-free dimension reduction for bivariate regression, Determining individual or time effects in panel data models, Least squares model averaging based on generalized cross validation, Modulation of estimators and confidence sets., Iterative bias reduction: a comparative study, Comparing six shrinkage estimators with large sample theory and asymptotically optimal prediction intervals, Bootstrapping multiple linear regression after variable selection, Efficient, adaptive cross-validation for tuning and comparing models, with application to drug discovery, Weighted-averaging estimator for possible threshold in segmented linear regression model, Spectral thresholding for the estimation of Markov chain transition operators, Order selection for possibly infinite-order non-stationary time series, Optimal model averaging for multivariate regression models, Semiparametric regression model selections., Consistent bandwidth selection for kernel binary regression, Asymptotic theory of nonparametric regression estimates with censored data, Adaptive estimation in autoregression or \(\beta\)-mixing regression via model selection, Variable selection for Cox's proportional hazards model and frailty model, Oracle inequalities for inverse problems, A note on cumulative mean estimation, Semiparametric estimation of models with conditional moment restrictions in the presence of nonclassical measurement errors, Cross-validated SNP density estimates, Distribution theory of the least squares averaging estimator, Appropriate penalties in the final prediction error criterion: A decision theoretic approach, Targeted cross-validation, Asymptotic optimality of generalized \(C_ L\), cross-validation, and generalized cross-validation in regression with heteroskedastic errors, Spline adaptation to smoothness, Mallows model averaging estimation for linear regression model with right censored data, Jackknife model averaging for quantile regressions, Nonparametric estimation of time varying parameters under shape restrictions