An optimal selection of regression variables

Ritei Shibata

Type: Article

Publication Date: 1981-01-01

Citations: 539

DOI: https://doi.org/10.1093/biomet/68.1.45

Abstract

An asymptotically optimal selection of regression variables is proposed. The key assumption is that the number of control variables is infinite or increases with the sample size. It is also shown that Mallows's Cp', Akaike's FPE and aic methods are all asymptotically equivalent to this method.

Locations

Biometrika - View - PDF

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