This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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532
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Type:
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Contributed
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Date/Time:
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Wednesday, August 4, 2010 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Statistical Learning and Data Mining
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Abstract - #306732 |
Title:
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Properties of Linear Model Selection
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Author(s):
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Changjiang Xu*+ and A. Ian McLeod
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Companies:
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The University of Western Ontario and The University of Western Ontario
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Address:
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, London, ON, ,
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Keywords:
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Linear model ;
Model selection ;
Variable selection ;
Final prediction error ;
Generalized information criteria
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Abstract:
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We examine properties of linear model selection by generalized information criteria (GIC). A necessary and sufficient condition for the consistency of the GIC is derived. The finite-sample and asymptotic probability distributions of the selected model are obtained and methods are given for their numerical evaluation. These distributions are useful in model selection and their application is illustrated with simulation results as well as in examples with actual data.
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Authors who are presenting talks have a * after their name.
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