High-dimensional consistencies of KOO methods in multivariate regression model and discriminant analysis

Yasunori Fujikoshi

Journal of Multivariate Analysis, 2022, vol. 188, issue C

Abstract: In this paper, we review recent developments in high-dimensional consistencies of KOO methods for selection of variables in multivariate regression models and discriminant analysis models. The KOO methods considered are mainly based on general information criteria, but we take up also KOO methods based on some other selection methods. Some references are given for high-dimensional consistencies in some other multivariate models.

Keywords: Discriminant analysis; General information criteria; High-dimensional consistency; KOO method; Multivariate regression model; Selection of variables (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.jmva.2021.104860

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