Consistency of BIC Model Averaging

DOI10.5705/ss.202021.0145zbMath1483.62120OpenAlexW4200337733MaRDI QIDQ5067439

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Publication date: 1 April 2022

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202021.0145

zbMATH Keywords

consistencyweak consistencycategorical predictorsBIC-p weighting

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Cites Work

• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• Extended BIC for linear regression models with diverging number of relevant features and high or ultra-high feature spaces
• Sparsity Oriented Importance Learning for High-Dimensional Linear Regression
• Extended Bayesian information criteria for model selection with large model spaces
• Information Theory and Mixing Least-Squares Regressions
• Model Selection: An Integral Part of Inference
• Adaptive Regression by Mixing
• Frequentist Model Average Estimators
• Performance Assessment of High-dimensional Variable Identification
• Parsimonious Model Averaging With a Diverging Number of Parameters
• Generalized Fiducial Inference for Ultrahigh-Dimensional Regression
• Least Squares Model Averaging