The Focused Information Criterion

DOI10.1198/016214503000000819zbMATH Open1045.62003OpenAlexW2067838071MaRDI QIDQ4468544FDOQ4468544

Authors: Nils Lid Hjort, Gerda Claeskens 

Publication date: 10 June 2004

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214503000000819

Recommendations

• A high-dimensional focused information criterion
• MINIMIZING AVERAGE RISK IN REGRESSION MODELS
• A focused information criterion for graphical models
• Focussed model selection in quantile regression
• The focused information criterion for varying-coefficient partially linear measurement error models

zbMATH Keywords

variable selectionlogistic regressionfocused information criterionAkaike's information criterionbias and variance balancemoderate misspecification

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Foundations and philosophical topics in statistics (62A01) Generalized linear models (logistic models) (62J12)

Cited In (only showing first 100 items - show all)

• Model selection in the presence of incidental parameters
• Model averaging for M-estimation
• Focused information criterion and model averaging for varying-coefficient partially linear models with longitudinal data
• On model selection and model misspecification in causal inference
• The focused information criterion for varying-coefficient partially linear measurement error models
• A focused information criterion for graphical models in fMRI connectivity with high-dimensional data
• Parametric or nonparametric? A parametricness index for model selection
• Model assessment tools for a model false world
• A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
• Generalized predictive information criteria for the analysis of feature events
• Mathematical issues in the inference of causal interactions among multichannel neural signals
• Quantitative magnetic resonance image analysis via the EM algorithm with stochastic variation
• The focussed information criterion for generalised linear regression models for time series
• Bridge estimators and the adaptive Lasso under heteroscedasticity
• Model selection and model averaging for semiparametric partially linear models with missing data
• Evaluation and selection of models for out-of-sample prediction when the sample size is small relative to the complexity of the data-generating process
• A focused information criterion for graphical models
• Using invalid instruments on purpose: focused moment selection and averaging for GMM
• Interval estimation by frequentist model averaging
• An assessment of empirical Bayes and composite estimators for small areas
• MINIMIZING AVERAGE RISK IN REGRESSION MODELS
• Model averaging for semiparametric additive partial linear models
• Model averaging based on rank
• Focused model selection for linear mixed models with an application to whale ecology
• Quantile regression under local misspecification
• Goodness-of-fit and confidence intervals of approximate models
• The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities
• Model selection and model averaging after multiple imputation
• Efficient shrinkage in parametric models
• Statistical estimation in the presence of possibly incorrect model assumptions
• Nonparametric C- and D-vine-based quantile regression
• A robust model averaging approach for partially linear models with responses missing at random
• Decision-based model selection
• Model averaging for varying-coefficient partially linear measurement error models
• Robust model selection with covariables missing at random
• AIC for the Lasso in generalized linear models
• Order selection in ARMA models using the focused information criterion
• Change-point model selection via AIC
• Model averaging procedure for varying-coefficient partially linear models with missing responses
• The optimal selection for restricted linear models with average estimator
• Focused information criterion and model averaging for generalized additive partial linear models
• Frequentist model averaging with missing observations
• Predictive, finite-sample model choice for time series under stationarity and non-stationarity
• PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS
• Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion
• CHALLENGES FOR ECONOMETRIC MODEL SELECTION
• Goodness of Fit via Non-parametric Likelihood Ratios
• Stein-like 2SLS estimator
• The robust desparsified lasso and the focused information criterion for high-dimensional generalized linear models
• Distribution theory of the least squares averaging estimator
• Variable selection strategies in survival models with multiple imputations
• Generalized Additive Models for Location, Scale and Shape
• Focussed model selection in quantile regression
• A comparison of two model averaging techniques with an application to growth empirics
• Valid post-selection inference
• Choice of weights in FMA estimators under general parametric models
• Focused information criterion and model averaging based on weighted composite quantile regression
• Weighted-average least squares estimation of generalized linear models
• Focused information criterion and model averaging with generalized rank regression
• A criterion for local model selection
• SHRINKAGE, PRETEST AND ABSOLUTE PENALTY ESTIMATORS IN PARTIALLY LINEAR MODELS
• Model averaging estimation for varying-coefficient single-index models
• Information and Posterior Probability Criteria for Model Selection in Local Likelihood Estimation
• Model selection rates of information based criteria
• An Akaike information criterion for multiple event mixture cure models
• Approximating data
• Residual information criterion for single-index model selections
• Simultaneous variable selection for heteroscedastic regression models
• Focused information criteria for copulas
• Linear regression with bivariate response variable containing missing data. Strategies to increase prediction precision
• Inference in univariate and bivariate autoregressive models with non-normal innovations
• Model averaging for right censored data with measurement error
• Model selection strategies for identifying most relevant covariates in homoscedastic linear models
• Choice of estimators based on different observations: modified AIC and LCV criteria
• Focused information criterion for locally misspecified vector autoregressive models
• A model averaging approach for the ordered probit and nested logit models with applications
• Optimal portfolio choice: a minimum expected loss approach
• Model selection and model averaging for analysis of truncated and censored data with measurement error
• Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure
• Focused information criterion and model averaging in censored quantile regression
• AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
• The focused information criterion for logistic time series regression models under locally biased estimating functions
• Multimodel inference based on smoothed information criteria
• Information criteria for model selection
• A Mallows-type model averaging estimator for ridge regression with randomly right censored data
• A conversation with Nils Lid Hjort
• Bias-corrected Kullback-Leibler distance criterion based model selection with covariables missing at random
• The jackknife model averaging of accelerated failure time model with current status data
• Minimizing sensitivity to model misspecification
• Variable selection in ROC regression
• Variable selection In regression models using global sensitivity analysis
• Bootstrapping some GLM and survival regression variable selection estimators
• A high-dimensional focused information criterion
• Remedying the Neyman-Scott phenomenon in model discrimination
• Imputation and post-selection inference in models with missing data: an application to colorectal cancer surveillance guidelines
• Focused information criterion and model averaging in quantile regression
• Measurement error correction in particle tracking microrheology
• Estimating Lyapunov exponents on a noisy environment by global and local Jacobian indirect algorithms
• Bootstrapping multiple linear regression after variable selection
• A nonparametric method for identifying structural damage in bridges based on the best-fit auto-regressive models

This page was built for publication: The Focused Information Criterion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4468544)