A consistency property of the AIC for multivariate linear models when the dimension and the sample size are large

DOI10.1214/15-EJS1022zbMath1328.62455MaRDI QIDQ2346518

Hirokazu Yanagihara, Yasunori Fujikoshi, Hirofumi Wakaki

Publication date: 2 June 2015

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1429625725

zbMATH Keywords

variable selectionAICBICmultivariate linear modelselection probabilitybias-corrected AICconsistent AIChigh-dimensional asymptotic framework

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (16)

Consistency of AIC and BIC in estimating the number of significant components in high-dimensional principal component analysis ⋮ Variance variation criterion and consistency in estimating the number of significant signals of high-dimensional PCA ⋮ High-dimensional asymptotic behavior of the difference between the log-determinants of two Wishart matrices ⋮ Statistical Problem Classes and Their Links to Information Theory ⋮ A fast and consistent variable selection method for high-dimensional multivariate linear regression with a large number of explanatory variables ⋮ High-dimensional AIC in the growth curve model ⋮ Asymptotics of AIC, BIC and \(C_p\) model selection rules in high-dimensional regression ⋮ Asymptotic Optimality of Cp-Type Criteria in High-Dimensional Multivariate Linear Regression Models ⋮ Consistent Bayesian information criterion based on a mixture prior for possibly high‐dimensional multivariate linear regression models ⋮ Inadmissibility of the corrected Akaike information criterion ⋮ Unnamed Item ⋮ Generalized ridge estimator and model selection criteria in multivariate linear regression ⋮ Consistent variable selection criteria in multivariate linear regression even when dimension exceeds sample size ⋮ High-dimensional consistencies of KOO methods in multivariate regression model and discriminant analysis ⋮ Consistency of test-based method for selection of variables in high-dimensional two-group discriminant analysis ⋮ Unnamed Item

Uses Software

• fda (R)

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