Consistency of an Information Criterion for High-Dimensional Multivariate Regression

Consistency of an Information Criterion for High-Dimensional Multivariate Regression

Yanagihara, Hirokazu

Springer Verlag, Japan

07/2024

60

Mole

Inglês

9784431557746

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1. Introduction.- 2. Information criteria in multivariate linear regression models.- 3.Several lemmas for proving consistency.- 4. Conditions to ensure consistency for AIC-type criterion under normality.- 5. Conditions to ensure consistency for AIC-type criterion under nonnormality.- 6. Conditions to ensure consistency of Cp-type criterion under normality.- 7. Conditions to ensure consistency of Cp-type criterion under nonnormality.- 8. Appendix.

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Consistency;High-dimensional Asymptotics;Information Criterion;Nonnormality;Variable Selection