Linear model selection by cross-validation

DOI10.1016/j.jspi.2003.10.004zbMath1058.62057OpenAlexW2062162733MaRDI QIDQ1765767

Yuehua Wu, C. Radhakrishna Rao

Publication date: 23 February 2005

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2003.10.004

zbMATH Keywords

GICMonte CarloLinear regressionModel selectionAICBICConsistencyCross-validationVariables selection

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

Related Items

Frequentist model averaging for envelope models ⋮ AK-fold averaging cross-validation procedure

Cites Work

• Model selection with data-oriented penalty
• A strongly consistent procedure for model selection in a regression problem
• Convergence rates of the generalized information criterion
• Consistent Variable Selection in Linear Models
• Linear Model Selection by Cross-Validation
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