Consistent Variable Selection in Linear Models

DOI10.2307/2291138zbMath0818.62060OpenAlexW4248842937MaRDI QIDQ4836975

Xiaodong Zheng, Weih-Yin Loh

Publication date: 21 August 1995

Full work available at URL: https://doi.org/10.2307/2291138

zbMATH Keywords

consistencypenalty functionsAkaike information criterionvariable selectionAICgoodness of fitmodel complexitysub-Gaussian distributiont-statisticsBayes information criterioncovariate discriminationestimating linear model dimension

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Related Items (16)

Some connections between Bayesian and non-Bayesian methods for regression model selection ⋮ Using random subspace method for prediction and variable importance assessment in linear regression ⋮ Spike and slab variable selection: frequentist and Bayesian strategies ⋮ Goodness-of-fit testing-based selection for large-\(p\)-small-\(n\) problems: a two-stage ranking approach ⋮ Automatic grouping using smooth-threshold estimating equations ⋮ Consistent model selection based on parameter estimates. ⋮ Generalized linear model selection using \(R^2\) ⋮ A simultaneous estimation and variable selection rule ⋮ Linear model selection by cross-validation ⋮ Delete or merge regressors for linear model selection ⋮ Consistent variable selection in large panels when factors are observable ⋮ Consistent variable selection in high dimensional regression via multiple testing ⋮ The GIC for model selection: A hypothesis testing approach ⋮ Applied regression analysis bibliography update 1994-97 ⋮ Model selection with data-oriented penalty ⋮ Convergence rates of the generalized information criterion

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