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Biometrika 1984 71(1):43-49; doi:10.1093/biomet/71.1.43
© 1984 by Biometrika Trust
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Approximate efficiency of a selection procedure for the number of regression variables

RITEI SHIBATA

Department of Mathematics, Tokyo Institute of Technology Ohokayama, Meguro, Tokyo, Japan

A simple approximation formula for the efficiency of the generalized final prediction error, (FPE{alpha}), criterion is obtained. In connexion with the approximate efficiency, a procedure for choosing {alpha} is proposed together with a further generalization of the FPE{alpha} criterion.

Key Words: Approximate efficiency • Random walk • Selection of regression variables


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