Linear Model Selection by Cross-Validation

DOI10.2307/2290328zbMATH Open0773.62051OpenAlexW4234107176MaRDI QIDQ5288906FDOQ5288906

Authors: Jun Shao 

Publication date: 28 October 1993

Full work available at URL: https://doi.org/10.2307/2290328

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zbMATH Keywords

algorithmsmodel selectionconsistencyMonte Carlolinear modelsmodel assessmentprediction errordata splittingsimulation studyinconsistencybalanced incomplete methodbest predictive abilityCV(n)-methodsleave-one-out cross-validation method

Mathematics Subject Classification ID

Linear inference, regression (62J99) Probabilistic methods, stochastic differential equations (65C99)

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

• Least angle regression. (With discussion)
• Model selection in factor-augmented regressions with estimated factors
• A study on tuning parameter selection for the high-dimensional lasso
• A note on bootstrap model selection criterion
• A cross-validation based estimation of the proportion of true null hypotheses
• A survey of Bayesian predictive methods for model assessment, selection and comparison
• Partial Orders of Similarity Differences Invariant Between EEG-Recorded Brain and Perceptual Representations of Language
• Regression on manifolds: estimation of the exterior derivative
• Analyzing establishment nonresponse using an interpretable regression tree model with linked administrative data
• Informational complexity criteria for regression models.
• Cross-Validation of Regression Models
• Model selection in nonparametric regression
• Estimation of prediction error by using \(K\)-fold cross-validation
• Consistent cross-validatory model-selection for dependent data: hv-block cross-validation
• A new variable selection approach using random forests
• Maximizing proportions of correct classifications in binary logistic regression
• Bootstrapping and sample splitting for high-dimensional, assumption-lean inference
• High-dimensional graphs and variable selection with the Lasso
• Fast computation of cross-validated properties in full linear leave-many-out procedures
• Resampling methods for variable selection in robust regression
• Robust variable selection using least angle regression and elemental set sampling
• Robust model selection using fast and robust bootstrap
• Consistency of cross validation for comparing regression procedures
• Cross validation model selection criteria for linear regression based on the Kullback-Leibler discrepancy
• Semiparametric zero-inflated modeling in multi-ethnic study of atherosclerosis (MESA)
• Asymptotic equivalence of Bayes cross validation and widely applicable information criterion in singular learning theory
• Estimating the Kullback–Liebler risk based on multifold cross‐validation
• Application of a least absolute shrinkage and selection operator to aeroelastic flight test data
• Model selection with data-oriented penalty
• Boosting multi-state models
• Spike and slab variable selection: frequentist and Bayesian strategies
• Validation of linear regression models
• Asymptotic bootstrap corrections of AIC for linear regression models
• Nonlinear GCV and quasi-GCV for shrinkage models
• Home-purchase restriction, property tax and housing price in China: a counterfactual analysis
• Consistent variable selection in high dimensional regression via multiple testing
• Penalized cluster analysis with applications to family data
• Comparison of Model Selection for Regression
• Measuring the prediction error. A comparison of cross-validation, bootstrap and covariance penalty methods
• Comparison of PLS algorithms when number of objects is much larger than number of variables
• Asymptotically optimal model selection method with right censored outcomes
• Selecting mixed-effects models based on a generalized information criterion
• Determining the number of factors in approximate factor models by twice K-fold cross validation
• AN IN-DEPTH LOOK AT HIGHEST POSTERIOR MODEL SELECTION
• Using simulated annealing to optimize the feature selection problem in marketing applications
• Bayesian Model Assessment and Comparison Using Cross-Validation Predictive Densities
• Multi-step virtual metrology for semiconductor manufacturing: a multilevel and regularization methods-based approach
• Statistical modeling under partial identification: distinguishing three types of identification regions in regression analysis with interval data
• Model averaging based on James-Stein estimators
• Variable Selection for Marginal Longitudinal Generalized Linear Models
• On improvability of model selection by model averaging
• Fast cross-validation algorithms for least squares support vector machine and kernel ridge regression
• Using random subspace method for prediction and variable importance assessment in linear regression
• Consistent selection of the number of change-points via sample-splitting
• Provably safe and robust learning-based model predictive control
• A jackknife type approach to statistical model selection
• Nonparametric prediction of stock returns based on yearly data: the long-term view
• Stock and bond return predictability: the discrimination power of model selection criteria
• Semiparametric mixtures of regressions with single-index for model based clustering
• Robust graphical modeling of gene networks using classical and alternative \(t\)-distributions
• A survey of cross-validation procedures for model selection
• A class of cross-validatory model selection criteria
• Accumulative prediction error and the selection of time series models
• Bayesian nonparametric model selection and model testing
• Asymptotics of cross-validated risk estimation in estimator selection and performance assess\-ment
• Computationally efficient confidence intervals for cross-validated area under the ROC curve estimates
• Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise
• Estimation of average treatment effects with panel data: asymptotic theory and implementation
• Estimating arrival rate of nonhomogeneous Poisson processes with semidefinite programming
• Improved predictions penalizing both slope and curvature in additive models
• Asymptotic optimality and efficient computation of the leave-subject-out cross-validation
• Semiparametric mixtures of nonparametric regressions
• Variable selection and estimation in generalized linear models with the seamless \(L_0\) penalty
• Predicting observables from a general class of distributions
• Cross-validation for selecting a model selection procedure
• High-dimensional regression with unknown variance
• On cross-validation of Bayesian models
• Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates
• Partially linear model selection by the bootstrap
• A robust coefficient of determination for regression
• An empirical study of PLAD regression using the bootstrap
• Fast cross-validation of high-breakdown resampling methods for PCA
• Data science, big data and statistics
• LOCALIZED MODEL SELECTION FOR REGRESSION
• Some connections between Bayesian and non-Bayesian methods for regression model selection
• Model selection via standard error adjusted adaptive Lasso
• Efficient algorithms for block downdating of least squares solutions
• Analysis of presence-only data via semi-supervised learning approaches
• The leave-worst-\(k\)-out criterion for cross validation
• Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion
• Cross validation in Lasso and its acceleration
• Oracle inequalities for cross-validation type procedures
• Consistent model selection based on parameter estimates.
• Identifiability of additive noise models using conditional variances
• Cross-validation with confidence
• Modeling uncertainty of expert elicitation for use in risk-based optimization
• A simple method for comparing complex models: Bayesian model comparison for hierarchical multinomial processing tree models using Warp-III bridge sampling
• Cross-validation for comparing multiple density estimation procedures
• Model selection criteria based on cross-validatory concordance statistics
• Linear model selection by cross-validation

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