Consistency of BIC model averaging

DOI10.5705/SS.202021.0145MaRDI QIDQ5067439zbMATH OpenOpenAlexFDO

Authors

Publication date 1 April 2022

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202021.0145

zbMATH Keywords

BIC-p weightingcategorical predictorsconsistencyweak consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

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Cites work

• Adaptive Regression by Mixing
• Extended Bayesian information criteria for model selection with large model spaces
• Extended BIC for linear regression models with diverging number of relevant features and high or ultra-high feature spaces
• Frequentist Model Average Estimators
• Generalized fiducial inference for ultrahigh-dimensional regression
• Information Theory and Mixing Least-Squares Regressions
• Least Squares Model Averaging
• Model Selection: An Integral Part of Inference
• Parsimonious Model Averaging With a Diverging Number of Parameters
• Performance Assessment of High-dimensional Variable Identification
• Sparsity oriented importance learning for high-dimensional linear regression
• The sparsity and bias of the LASSO selection in high-dimensional linear regression

Cited in

(4)

• Consistency of model averaging estimators
• Information criteria for model selection
• Variable importance based interaction modelling with an application on initial spread of COVID-19 in China
• Optimal model averaging for imbalanced classification

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