Related papers: Model Selection for Explosive Models
Model selection based on classical information criteria, such as BIC, is generally computationally demanding, but its properties are well studied. On the other hand, model selection based on parameter shrinkage by $\ell_1$-type penalties is…
We study the law of the iterated logarithm (LIL) for the maximum likelihood estimation of the parameters (as a convex optimization problem) in the generalized linear models with independent or weakly dependent ($\rho$-mixing, $m$-dependent)…
Popular statistical software provides Bayesian information criterion (BIC) for multilevel models or linear mixed models. However, it has been observed that the combination of statistical literature and software documentation has led to…
As predictive models -- e.g., from machine learning -- give likely outcomes, they may be used to reason on the effect of an intervention, a causal-inference task. The increasing complexity of health data has opened the door to a plethora of…
Performing model selection between Gibbs random fields is a very challenging task. Indeed, due to the Markovian dependence structure, the normalizing constant of the fields cannot be computed using standard analytical or numerical methods.…
We introduce a novel Information Criterion (IC), termed Learning under Singularity (LS), designed to enhance the functionality of the Widely Applicable Bayes Information Criterion (WBIC) and the Singular Bayesian Information Criterion…
Model selection is crucial to high-dimensional learning and inference for contemporary big data applications in pinpointing the best set of covariates among a sequence of candidate interpretable models. Most existing work assumes implicitly…
In the field of spatial data analysis, spatially varying coefficients (SVC) models, which allow regression coefficients to vary by region and flexibly capture spatial heterogeneity, have continued to be developed in various directions.…
Smoothed AIC (S-AIC) and Smoothed BIC (S-BIC) are very widely used in model averaging and are very easily to implement. Especially, the optimal model averaging method MMA and JMA have only been well developed in linear models. Only by…
The semiparametric estimation approach, which includes inverse-probability-weighted and doubly robust estimation using propensity scores, is a standard tool in causal inference, and it is rapidly being extended in various directions. On the…
Most of the regularization methods such as the LASSO have one (or more) regularization parameter(s), and to select the value of the regularization parameter is essentially equal to select a model. Thus, to obtain a model suitable for the…
In multivariate extreme value analysis, the estimation of the dependence structure in extremes is demanding, especially in the context of high-dimensional data. Therefore, a common approach is to reduce the model dimension by considering…
This paper studies model selection for general unit-root time series, including the case with many exogenous predictors. We propose a new model selection algorithm, FHTD, that leverages forward stepwise regression (FSR), a high-dimensional…
Hierarchical latent class (HLC) models are tree-structured Bayesian networks where leaf nodes are observed while internal nodes are latent. There are no theoretically well justified model selection criteria for HLC models in particular and…
State-level policy evaluations commonly employ a difference-in-differences (DID) study design; yet within this framework, statistical model specification varies notably across studies. Motivated by applied state-level opioid policy…
Selecting the number of regimes in Hidden Markov models is an important problem. There are many criteria that are used to select this number, such as Akaike information criterion (AIC), Bayesian information criterion (BIC), integrated…
Evaluation of the marginal likelihood plays an important role in model selection problems. The widely applicable Bayesian information criterion (WBIC) and singular Bayesian information criterion (sBIC) give approximations to the log…
In statistical modeling area, the Akaike information criterion AIC, is a widely known and extensively used tool for model choice. The {\phi}-divergence test statistic is a recently developed tool for statistical model selection. The…
Variable selection is essential for improving inference and interpretation in multivariate linear regression. Although a number of alternative regressor selection criteria have been suggested, the most prominent and widely used are the…
We demonstrate high prediction accuracy of three important properties that determine the initial geometry of the heavy-ion collision (HIC) experiments by using supervised Machine Learning (ML) methods. These properties are the impact…