Cross-validation for selecting a model selection procedure (Q494374)

scientific article; zbMATH DE number 6477240

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English	Cross-validation for selecting a model selection procedure	scientific article; zbMATH DE number 6477240

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instance of

scholarly article

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title

Cross-validation for selecting a model selection procedure (English)

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Journal of Econometrics

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publication date

1 September 2015

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zbMATH Keywords

cross-validation

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cross-validation paradox

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data splitting ratio

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adaptive procedure selection

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information criterion

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LASSO

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MCP

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SCAD

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describes a project that uses

ElemStatLearn

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1016/j.jeconom.2015.02.006

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cites work

Q4769776

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The Relationship between Variable Selection and Data Agumentation and a Method for Prediction

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A survey of cross-validation procedures for model selection

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Approximation of density functions by sequences of exponential families

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A comparative study of ordinary cross-validation, <i>v</i>-fold cross-validation and the repeated learning-testing methods

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Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

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The risk inflation criterion for multiple regression

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The Predictive Sample Reuse Method with Applications

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Calibration and empirical Bayes variable selection

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Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series

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Asymptotic optimality for $C_ p$, $C_ L$, cross-validation and generalized cross-validation: Discrete index set

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Parametric or nonparametric? A parametricness index for model selection

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Asymptotic properties of criteria for selection of variables in multiple regression

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Cross-Validation of Regression Models

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Asymptotic Optimality of the $C_p$-Test for the Orthogonal Series Estimation of Regression

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A strongly consistent procedure for model selection in a regression problem

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On the subspaces of $L^p$ $(p > 2)$ spanned by sequences of independent random variables

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Minimax-optimal rates for sparse additive models over kernel classes via convex programming

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Estimating the dimension of a model

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Adaptive Model Selection

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Linear Model Selection by Cross-Validation

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Model selection and prediction: Normal regression

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Asymptotics for and against cross-validation

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Oracle inequalities for multi-fold cross validation

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Catching up Faster by Switching Sooner: A Predictive Approach to Adaptive Estimation with an Application to the AIC–BIC Dilemma

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Adaptive Minimax Estimation over Sparse $\ell_q$-Hulls

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Adaptive Regression by Mixing

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Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation

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Q5488718

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PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE?

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Consistency of cross validation for comparing regression procedures

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Nearly unbiased variable selection under minimax concave penalty

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Model selection via multifold cross validation

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Model selection: a Lagrange optimization approach

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Identifiers

zbMATH Open document ID

1337.62387

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Mathematics Subject Classification ID

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10.1016/J.JECONOM.2015.02.006

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Sitelinks

Mathematics(1 entry)

mardi Publication:494374