JSS Research Series in Statistics
cover

Consistency of an Information Criterion for High-Dimensional Multivariate Regression

Authors: Yanagihara, Hirokazu

  • Reevaluates the consistency of an information criterion by the high-dimensional asymptotic framework 
  • Deals with the high-dimensional asymptotic theory when the normality assumption is violated
  • Considers a wide class of information criteria
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eBook $39.99
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  • The eBook version of this title will be available soon
  • Due: June 1, 2021
  • ISBN 978-4-431-55775-3
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Softcover $54.99
price for USA in USD
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  • Due: May 4, 2021
  • ISBN 978-4-431-55774-6
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  • Please be advised Covid-19 shipping restrictions apply. Please review prior to ordering
About this book

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.

Buy this book

eBook $39.99
price for USA in USD
  • The eBook version of this title will be available soon
  • Due: June 1, 2021
  • ISBN 978-4-431-55775-3
  • Digitally watermarked, DRM-free
  • Included format:
  • ebooks can be used on all reading devices
Softcover $54.99
price for USA in USD
  • Customers within the U.S. and Canada please contact Customer Service at +1-800-777-4643, Latin America please contact us at +1-212-460-1500 (24 hours a day, 7 days a week). Pre-ordered printed titles are excluded from promotions.
  • Due: May 4, 2021
  • ISBN 978-4-431-55774-6
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Please be advised Covid-19 shipping restrictions apply. Please review prior to ordering

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Bibliographic Information

Bibliographic Information
Book Title
Consistency of an Information Criterion for High-Dimensional Multivariate Regression
Authors
Series Title
JSS Research Series in Statistics
Copyright
2021
Publisher
Springer Japan
Copyright Holder
The Author(s), under exclusive licence to Springer Japan KK
eBook ISBN
978-4-431-55775-3
Softcover ISBN
978-4-431-55774-6
Series ISSN
2364-0057
Edition Number
1
Number of Pages
X, 60
Topics