Selection Consistency of EBIC for GLIM with Non-canonical Links and Diverging Number of Parameters

Details Selection Consistency of EBIC for GLIM with Non-canonical Links and Diverging Number of Parameters Selection Consistency of EBIC for GLIM with Non-canonical Links and Diverging Number of Parameters

2011-12-13

arxiv.org/abs/1112.2815v1

Mathematics

Statistics Theory

19 pages

Scientific paper

In this article, we investigate the properties of the EBIC in variable selection for generalized linear models with non-canonical links and diverging number of parameters in ultra-high dimensional feature space. The selection consistency of the EBIC in this situation is established under moderate conditions. The finite sample performance of the EBIC coupled with a forward selection procedure is demonstrated through simulation studies and a real data analysis.

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