Asymptotically minimax regret procedures in regression model selection and the magnitude of the dimension penalty.

DOI10.1214/AOS/1015957473zbMATH Open1105.62356OpenAlexW1587154490MaRDI QIDQ1848845FDOQ1848845

Authors: Alexander Goldenshluger, Eitan Greenshtein 

Publication date: 14 November 2002

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

Full work available at URL: https://doi.org/10.1214/aos/1015957473

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Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Linear regression; mixed models (62J05) Minimax procedures in statistical decision theory (62C20)

Cites Work

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• Some Comments on C P
• A new look at the statistical model identification
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• Asymptotic properties of criteria for selection of variables in multiple regression
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• The Predictive Sample Reuse Method with Applications
• The risk inflation criterion for multiple regression
• Model selection and prediction: Normal regression
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• An optimal selection of regression variables
• Selection of the number of regression variables; A minimax choice of generalized FPE
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• How Many Variables Should be Entered in a Regression Equation?
• Selection of Variables in Multiple Regression: Part II. Chosen Procedures, Computations and Examples
• Admissible selection of an accurate and parsimonious normal linear regression model
• Asymptotically minimax regret procedures in regression model selection and the magnitude of the dimension penalty.
• On the relationship between the sample size and the number of variables in a linear regression model

Cited In (8)

• A minimax bivariate normal model selection
• Model selection and prediction: Normal regression
• A predictive deviance criterion for selecting a generative model in semi-supervised classification
• Asymptotically minimax regret procedures in regression model selection and the magnitude of the dimension penalty.
• Relation for joint densities of progressively censored order statistics
• Title not available (Why is that?)
• Relationship between optimal penalties and decay rates
• Admissible minimax model selection rule

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