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| HAL: hal-00626307, version 1 |
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| Criteria for variable selection with dependence |
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Aurélie Boisbunon 1Stephane Canu 1 |
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| (2011-09-24) |
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| We propose a new data-driven procedure of model selection based loss estimation and valid for the whole family of spherically symmetric distributions, allowing for dependence between noise components. We give explicit formulas for the Firm Shrinkage estimator, and we compare by simulation our results in terms of selection with the classical AIC, BIC and leave-one-out cross-validation. |
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| 1: | Laboratoire d'Informatique, de Traitement de l'Information et des Systèmes (LITIS) |
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Institut National des Sciences Appliquées (INSA) - Rouen – Université du Havre – Université de Rouen : EA4108 |
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| Subject | : | Mathematics/Statistics Statistics/Statistics Theory Computer Science/Learning |
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| hal-00626307, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00626307 | |
| oai:hal.archives-ouvertes.fr:hal-00626307 | |
| From: Aurélie Boisbunon | |
| Submitted on: Sunday, 25 September 2011 15:56:55 | |
| Updated on: Monday, 26 September 2011 11:07:38 | |
