Model selection in linear regression

被引：12
|
作者：
Kundu, D [1 ]
Murali, G [1 ]
机构：
[1] INDIAN INST TECHNOL,DEPT MATH,KANPUR 208016,UTTAR PRADESH,INDIA
来源：
COMPUTATIONAL STATISTICS & DATA ANALYSIS | 1996年 / 22卷 / 05期
关键词：
model selection; AIC; BIG; EDC; consistent estimates; penalized likelihood;
D O I：
10.1016/0167-9473(96)00008-4
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
We consider the multiple regression model Y = X(0) beta + epsilon, where Y and epsilon are n-vector random variables, X(0) is an n x m design matrix and beta is an in-vector of unknown regression parameters. It is well known that different information theoretic criteria with proper choice of penalty function can be used to choose the correct model. In this paper we have done an extensive simulation study to choose the proper penalty function, by using different models and using different error random variables.
引用
收藏
页码：461 / 469
页数：9
相关论文
共 50 条
  • [41] Group subset selection for linear regression
    Guo, Yi
    Berman, Mark
    Gao, Junbin
    COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2014, 75 : 39 - 52
  • [42] Statistical Learning and Multiple Linear Regression Model for Network Selection using MIH
    Rahil, Ahmad
    Mbarek, Nader
    Togni, Olivier
    Atieh, Mirna
    Fouladkar, Ali
    2014 THIRD INTERNATIONAL CONFERENCE ON E-TECHNOLOGIES AND NETWORKS FOR DEVELOPMENT (ICEND), 2014,
  • [43] Quantile regression and variable selection for partially linear model with randomly truncated data
    Hong-Xia Xu
    Zhen-Long Chen
    Jiang-Feng Wang
    Guo-Liang Fan
    Statistical Papers, 2019, 60 : 1137 - 1160
  • [44] Methods and Tools for Bayesian Variable Selection and Model Averaging in Normal Linear Regression
    Forte, Anabel
    Garcia-Donato, Gonzalo
    Steel, Mark
    INTERNATIONAL STATISTICAL REVIEW, 2018, 86 (02) : 237 - 258
  • [45] Robust model selection using the out-of-bag bootstrap in linear regression
    Rabbi, Fazli
    Khalil, Alamgir
    Khan, Ilyas
    Almuqrin, Muqrin A.
    Khalil, Umair
    Andualem, Mulugeta
    SCIENTIFIC REPORTS, 2022, 12 (01)
  • [46] Post-model-selection inference in linear regression models: An integrated review
    Zhang, Dongliang
    Khalili, Abbas
    Asgharian, Masoud
    STATISTICS SURVEYS, 2022, 16 : 86 - 136
  • [47] Strong limit theorems on model selection in generalized linear regression with binomial responses
    Qian, Guoqi
    Wu, Yuehua
    STATISTICA SINICA, 2006, 16 (04) : 1335 - 1365
  • [48] Quantile regression and variable selection of partial linear single-index model
    Lv, Yazhao
    Zhang, Riquan
    Zhao, Weihua
    Liu, Jicai
    ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2015, 67 (02) : 375 - 409
  • [49] Robust model selection using the out-of-bag bootstrap in linear regression
    Fazli Rabbi
    Alamgir Khalil
    Ilyas Khan
    Muqrin A. Almuqrin
    Umair Khalil
    Mulugeta Andualem
    Scientific Reports, 12
  • [50] Model Selection for Data Analysis in Encrypted Domain: Application to Simple Linear Regression
    Hong, Mi Yeon
    Yoon, Ji Won
    INFORMATION SECURITY APPLICATIONS, WISA 2019, 2020, 11897 : 155 - 166
12345