A strongly consistent information criterion for linear model selection based on M-estimation

被引：0

作者：

Y. Wu

M. M. Zen

机构：

[1] Department of Mathematics and Statistics,

[2] York University,undefined

[3] 4700 Keele Street,undefined

[4] Toronto,undefined

[5] Ontario,undefined

[6] Canada M3J 1P3. e-mail: wuyh@mathstat.yorku.ca,undefined

[7] Department of Statistics,undefined

[8] National Cheng-Kung University,undefined

[9] Tainan,undefined

[10] Taiwan,undefined

来源：

Probability Theory and Related Fields | 1999年 / 113卷

关键词：

Mathematics Subject Classification (1991): 62J05, 62F35, 62F12;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

In this paper, a linear model selection procedure based on M-estimation is proposed, which includes many classical model selection criteria as its special cases. It is shown that the proposed criterion is strongly consistent under certain mild conditions, for instance without assuming normality of the distribution of the random errors. The results from a simulation study are also presented.

引用

页码：599 / 625

页数：26