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Consistency of an Information Criterion for High-dimensional Multivariate Regression
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Bibliographic Detail
Publisher Springer Verlag
Publication date September 6, 2016
Binding Paperback
Book category Adult Non-Fiction
ISBN-13 9784431557746
ISBN-10 4431557741
Dimensions 0 by 6.10 by 9.25 in.
Original list price $69.99
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Amazon.com description: Product Description:

This is the first book on an evaluation of (weak) consistency of an information criterion for variable selection in high-dimensional multivariate linear regression models by using the high-dimensional asymptotic framework. It is an asymptotic framework such that the sample size n and the dimension of response variables vector p are approaching ∞ simultaneously under a condition that p/n goes to a constant included in [0,1).Most statistical textbooks evaluate consistency of an information criterion by using the large-sample asymptotic framework such that n goes to ∞ under the fixed p. The evaluation of consistency of an information criterion from the high-dimensional asymptotic framework provides new knowledge to us, e.g., Akaike's information criterion (AIC) sometimes becomes consistent under the high-dimensional asymptotic framework although it never has a consistency under the large-sample asymptotic framework; and Bayesian information criterion (BIC) sometimes becomes inconsistent under the high-dimensional asymptotic framework although it is always consistent under the large-sample asymptotic framework. The knowledge may help to choose an information criterion to be used for high-dimensional data analysis, which has been attracting the attention of many researchers.



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Paperback
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from Springer Verlag (September 6, 2016)
9784431557746 | details & prices | List price $69.99
About: This is the first book on an evaluation of (weak) consistency of an information criterion for variable selection in high-dimensional multivariate linear regression models by using the high-dimensional asymptotic framework.

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