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

DOI10.1007/S00180-015-0584-8zbMATH Open1342.65077OpenAlexW2069101646MaRDI QIDQ736651FDOQ736651

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

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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)

Cites Work

• Estimating the dimension of a model
• Regression and time series model selection in small samples
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• A new look at the statistical model identification
• On Information and Sufficiency
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• Further analysis of the data by Akaike's information criterion and the finite corrections
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• Statistical Models
• Estimating the Error Rate of a Prediction Rule: Improvement on Cross-Validation
• An optimal selection of regression variables
• Model Selection for Multivariate Regression in Small Samples
• The Covariance Inflation Criterion for Adaptive Model Selection
• Modified AIC and Cp in multivariate linear regression
• A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION
• The multivariate inclusion-exclusion formula and order statistics from dependent variates
• An improved Akaike information criterion for state-space model selection
• Criteria for Linear Model Selection Based on Kullback's Symmetric Divergence
• Computational Efficiency in the Selection of Regression Variables

Cited In (4)

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

Uses Software

• R
• leaps

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