High-dimensional consistency of rank estimation criteria in multivariate linear model
DOI10.1016/J.JMVA.2016.04.005zbMATH Open1341.62119OpenAlexW2347041411MaRDI QIDQ290726FDOQ290726
Authors: Yasunori Fujikoshi, Tetsuro Sakurai 
Publication date: 3 June 2016
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2016.04.005
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- scientific article; zbMATH DE number 1034040
BICrankAICdiscriminant analysisdimensionality\(\mathrm{C}_p\)consistency propertyhigh-dimensional frameworkmultivariate linear modelmultivariate regression modelridge-type criteriontuning parameter
Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)
Cites Work
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- Consistency of high-dimensional AIC-type and \(C_p\)-type criteria in multivariate linear regression
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Cited In (11)
- Consistency of AIC and BIC in estimating the number of significant components in high-dimensional principal component analysis
- Asymptotics of AIC, BIC and \(C_p\) model selection rules in high-dimensional regression
- Consistency of high-dimensional AIC-type and \(C_p\)-type criteria in multivariate linear regression
- Wigner and Wishart ensembles for sparse Vinberg models
- Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case
- Consistency properties of AIC, BIC, Cp and their modifications in the growth curve model under a large-\((q, n)\) framework
- Asymptotic Optimality of Cp-Type Criteria in High-Dimensional Multivariate Linear Regression Models
- A consistent variable selection method in high-dimensional canonical discriminant analysis
- Consistency of test-based method for selection of variables in high-dimensional two-group discriminant analysis
- A generalized information criterion for high-dimensional PCA rank selection
- Consistency of the objective general index in high-dimensional settings
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