Selection of Variables in Multivariate Regression Models for Large Dimensions

DOI10.1080/03610926.2011.624242zbMath1271.62117MaRDI QIDQ2920051

Muni S. Srivastava, Tatsuya Kubokawa

Publication date: 23 October 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.624242

zbMATH Keywords

Akaike information criterion; Mallows' \(C_p\)

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

62E20: Asymptotic distribution theory in statistics

Related Items

High-dimensional consistency of rank estimation criteria in multivariate linear model, Lasso penalized model selection criteria for high-dimensional multivariate linear regression analysis, Consistent variable selection criteria in multivariate linear regression even when dimension exceeds sample size, Optimal model averaging for multivariate 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

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