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- W4293490310 abstract "Variable selection in multivariate linear regression is essential for the interpretation, subsequent statistical inferences and predictions of the statistical problem at hand. It has a long history of being studied, and many regressor selection criteria have been proposed. Most commonly used criteria include the Akaike information criterion (AIC), Bayesian information criterion (BIC), and Mallow’s Cp and their modifications. It is well-known that if the true model is among the candidate models, then BIC is strongly consistent while AIC is not when only the sample size tends to infinity and the numbers of response variables and regressors remain fixed; a setting often described as large-sample. Increasingly, more and more datasets are viewed as high-dimensional in the sense that the number of response variables (p), the number of regressors (k) and the sample size (n) tend to infinity such that p∕n→c∈(0,1) and k∕n→α∈[0,1) with α+c<1. A few recent works reported that, under high dimension, the asymptotic properties of AIC, BIC and Cp selection rules in the large-sample setting do not necessarily carry over in the high-dimensional setting. In this paper, we clarify their asymptotic properties and provide sufficient conditions for which a selection rule is strongly consistent, almost surely under specify and over specify a true model. We do not assume normality in the errors, and we only require finite fourth moment. The main tool employed is random matrix theory techniques. A consequence of this work states that, under certain mild high-dimensional conditions, if the BIC selection rule is strongly consistent then the AIC selection rule is also strongly consistent, but not vice versa. This result is in stark contrast to the large-sample result." @default.
- W4293490310 created "2022-08-29" @default.
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- W4293490310 date "2022-11-01" @default.
- W4293490310 modified "2023-09-29" @default.
- W4293490310 title "Asymptotics of AIC, BIC and Cp model selection rules in high-dimensional regression" @default.
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- W4293490310 doi "https://doi.org/10.3150/21-bej1422" @default.
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