Linear regression model selection using p-values when the model dimension grows
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Publication:6233082
arXiv1205.4146MaRDI QIDQ6233082FDOQ6233082
Authors: Piotr Pokarowski, Jan Mielniczuk, Paweł Teisseyre 
Publication date: 18 May 2012
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.
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