In normal linear regression analysis, many model selection rules proposed from various viewpoints are available. For the information criteria AIC, FPE, $C_p$, PSS and BIC, the asymptotic distribution of the selected model and the asymptotic quadratic risk based on each criterion are explicitly obtained.
Publié le : 1984-06-14
Classification:
AIC,
BIC,
$C_p$,
FPE,
PSS,
regression analysis,
selection of variables,
62J05,
62F12
@article{1176346522,
author = {Nishii, Ryuei},
title = {Asymptotic Properties of Criteria for Selection of Variables in Multiple Regression},
journal = {Ann. Statist.},
volume = {12},
number = {1},
year = {1984},
pages = { 758-765},
language = {en},
url = {http://dml.mathdoc.fr/item/1176346522}
}
Nishii, Ryuei. Asymptotic Properties of Criteria for Selection of Variables in Multiple Regression. Ann. Statist., Tome 12 (1984) no. 1, pp. 758-765. http://gdmltest.u-ga.fr/item/1176346522/