Selection of variables in multivariate regression models for large dimensions
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Recommendations
- Consistent variable selection criteria in multivariate linear regression even when dimension exceeds sample size
- Consistency of high-dimensional AIC-type and C_p-type criteria in multivariate linear regression
- Modified AIC and Cp in multivariate linear regression
- A fast and consistent variable selection method for high-dimensional multivariate linear regression with a large number of explanatory variables
- A consistency property of the AIC for multivariate linear models when the dimension and the sample size are large
Cites work
- A new look at the statistical model identification
- Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data
- Further analysis of the data by Akaike's information criterion and the finite corrections
- scientific article; zbMATH DE number 1818022 (Why is no real title available?)
- scientific article; zbMATH DE number 3655180 (Why is no real title available?)
- Information criteria and statistical modeling.
- Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
- Some Comments on C P
Cited in
(13)- Consistent variable selection criteria in multivariate linear regression even when dimension exceeds sample size
- Optimal model averaging for multivariate regression models
- A fast and consistent variable selection method for high-dimensional multivariate linear regression with a large number of explanatory variables
- A consistent variable selection method in high-dimensional canonical discriminant analysis
- Consistency of test-based method for selection of variables in high-dimensional two-group discriminant analysis
- High-dimensional consistency of rank estimation criteria in multivariate linear model
- Consistency of high-dimensional AIC-type and C_p-type criteria in multivariate linear regression
- Lasso penalized model selection criteria for high-dimensional multivariate linear regression analysis
- Large numbers of explanatory variables, a semi-descriptive analysis
- Variable selection in infinite-dimensional problems
- Automatic variable selection in a linear model on massive data
- Identification of outlying and influential data with principal components regression estimation in binary logistic regression
- Model selection criteria in multivariate models with multiple structural changes
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