Model selection and prediction: Normal regression

DOI10.1007/BF00773667zbMath0774.62093MaRDI QIDQ1260697

Bin Yu, Terence P. Speed

Publication date: 25 August 1993

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

zbMATH Keywords

model selection criteria; AIC; BIC; FPE criterion; prediction errors; accumulatd prediction error criterion; APE; finite-dimensional normal regression models; finite-dimensional vs. infinite-dimensional model assumptions; prediction lower bound; prediction with refitting; prediction without refitting; stochastic complexity criterion; upper bounds on overfitting and underfitting probabilities

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J99: Linear inference, regression

62B10: Statistical aspects of information-theoretic topics

Related Items

Data compression and histograms, Confidence sets centered at \(C_ p\)-estimators, Asymptotically minimax regret procedures in regression model selection and the magnitude of the dimension penalty., Model selection based on minimum description length, Global statistical information in exponential experiments and selection of exponential models

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