We give analytic and non-asymptotic description of both over and underfitting sets for a general class of order selection model. Upper bounds for associated misfitting probabilities are given for various family of models . Consistency of model selection can be derived.
Publié le : 1999-07-05
Classification:
model selection,
AIC,
BIC,
underfitting,
overfitting,
consistency,
regression,
auro-regression,
Markov random field,
stable law,
62F12 ; 62M10 ; 62M40,
[MATH.MATH-ST]Mathematics [math]/Statistics [math.ST],
[STAT.TH]Statistics [stat]/Statistics Theory [stat.TH]
@article{hal-00272372,
author = {Guyon, Xavier and Yao, Jian-Feng},
title = {On the underfitting and overfitting sets of models chosen by order selection criteria},
journal = {HAL},
volume = {1999},
number = {0},
year = {1999},
language = {en},
url = {http://dml.mathdoc.fr/item/hal-00272372}
}
Guyon, Xavier; Yao, Jian-Feng. On the underfitting and overfitting sets of models chosen by order selection criteria. HAL, Tome 1999 (1999) no. 0, . http://gdmltest.u-ga.fr/item/hal-00272372/