Prediction consistency of forward iterated regression and selection technique

Shikai Luo and Subhashis Ghosal

Statistics & Probability Letters, 2015, vol. 107, issue C, 79-83

Abstract: Recently, Hwang et al. (2009) introduced a penalized forward selection technique for high dimensional linear regression which appears to possess excellent prediction and variable selection properties. In this article, we show that the procedure is prediction consistent.

Keywords: Forward selection; High dimension; Sparsity; Linear regression; Penalization; Prediction consistency (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2015.08.005

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