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Activity Number: 191
Type: Contributed
Date/Time: Monday, August 5, 2013 : 10:30 AM to 12:20 PM
Sponsor: Section on Statistical Learning and Data Mining
Abstract - #309288
Title: Large Sample Properties of Model Selection Criteria in High-Dimensional Regression
Author(s): Peng Yang*+ and Soumendra N. Lahiri
Companies: North Carolina State University and North Carolina State University
Keywords: model selection ; high dimension
Abstract:

The paper explores the properties of different model selection criteria in the framework of high-dimensional penalised regression. Suggestions are given based on the features of the data. Simulation results are presented to illustrate finite sample properties of the theoretical findings.


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