Conditions for consistency of a log-likelihood-based information criterion in normal multivariate linear regression models under the violation of the normality assumption

DOI10.14490/JJSS.45.21zbMATH Open1341.62230OpenAlexW2114326118MaRDI QIDQ2811388FDOQ2811388

Authors: Hirokazu Yanagihara 

Publication date: 10 June 2016

Published in: Journal of the Japan Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss.45.21

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zbMATH Keywords

variable selectionBICAICnonnormalitymultivariate linear regression modelselection probabilityassumption of normalitybias-corrected AICconsistent AIChigh-dimensional asymptotic frameworkHQClarge-sample asymptotic framework

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

Cited In (9)

• Asymptotics of AIC, BIC and \(C_p\) model selection rules in high-dimensional regression
• Title not available (Why is that?)
• Strong consistency of log-likelihood-based information criterion in high-dimensional canonical correlation analysis
• High-dimensional asymptotic behavior of the difference between the log-determinants of two Wishart matrices
• Asymptotic Optimality of Cp-Type Criteria in High-Dimensional Multivariate Linear Regression Models
• Consistent variable selection criteria in multivariate linear regression even when dimension exceeds sample size
• A consistent variable selection method in high-dimensional canonical discriminant analysis
• On the prevalence of information inconsistency in normal linear models
• Consistency of log-likelihood-based information criteria for selecting variables in high-dimensional canonical correlation analysis under nonnormality

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