A multistage algorithm for best-subset model selection based on the Kullback-Leibler discrepancy

DOI10.1007/S00180-015-0584-8MaRDI QIDQ736651zbMATH OpenOpenAlexFDO

Authors Tao Zhang, Joseph E. Cavanaugh

Publication date 4 August 2016

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-015-0584-8

zbMATH Keywords

variable selectionlinear modelsMonte Carlo simulationAkaike information criterion

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 1219611 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 3241743 (Why is no real title available?)
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• Criteria for Linear Model Selection Based on Kullback's Symmetric Divergence
• Estimating the Error Rate of a Prediction Rule: Improvement on Cross-Validation
• Estimating the dimension of a model
• Further analysis of the data by Akaike's information criterion and the finite corrections
• How Biased is the Apparent Error Rate of a Prediction Rule?
• Model Selection for Multivariate Regression in Small Samples
• Modified AIC and Cp in multivariate linear regression
• On Information and Sufficiency
• Regression and time series model selection in small samples
• Statistical Models
• The Covariance Inflation Criterion for Adaptive Model Selection
• The multivariate inclusion-exclusion formula and order statistics from dependent variates

Cited in

(4)

• Resampling-based information criteria for best-subset regression
• SuRF: A new method for sparse variable selection, with application in microbiome data analysis
• Best-subset model selection based on multitudinal assessments of likelihood improvements
• Extending AIC to best subset regression

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