Skip Navigation

Biometrika 1989 76(2):369-374; doi:10.1093/biomet/76.2.369
© 1989 by Biometrika Trust
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by RAO, R.
Right arrow Articles by WU, Y.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

A strongly consistent procedure for model selection in a regression problem

RADHAKRISHNA RAO and YUEHUA WU

Center for Multivariate Analysis, Pennsylvania State University University Park, Pennsylvania 16802, U.S.A.

We consider the multiple regression model Yn= Xnß+ En, where Yn and En are n-vector random variables, Xn is an n×m matrix and ß is an m-vector of unknown regression parameters. Each component of ß may be zero or nonzero, which gives rise to 2m possible models for multiple regression. We provide a decision rule for the choice of a model which is strongly consistent for the true model as n ->{infty}. The result is proved under certain mild conditions, for instance without assuming normality of the distribution of the components of En.

Key Words: AIC • BIC • GIC • Linear regression • Model selection • Variable selection


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 BiometrikaHome page
J. Chen and Z. Chen
Extended Bayesian information criteria for model selection with large model spaces
Biometrika, September 1, 2008; 95(3): 759 - 771.
[Abstract] [PDF]


Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.