Linear regression model selection using p-values when the model dimension grows
From MaRDI portal
Publication:6233082
Abstract: We consider a new criterion-based approach to model selection in linear regression. Properties of selection criteria based on p-values of a likelihood ratio statistic are studied for families of linear regression models. We prove that such procedures are consistent i.e. the minimal true model is chosen with probability tending to 1 even when the number of models under consideration slowly increases with a sample size. The simulation study indicates that introduced methods perform promisingly when compared with Akaike and Bayesian Information Criteria.
This page was built for publication: Linear regression model selection using p-values when the model dimension grows
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6233082)
