Laplace’s method and BIC model selection for least absolute value criterion

Jean-Marc Bardet

Statistics & Probability Letters, 2023, vol. 195, issue C

Abstract: In this paper, we provide an answer to the following question: In the particular case of a non-differentiable likelihood, is the formula for the BIC model selection criterion the same? More precisely, we obtain the Laplace method for a sum-of-absolute-values function and we deduce that the usual BIC formula with penalty in log(n) remains the same in the context of a selection of explanatory variables by least absolute value regression.

Keywords: Laplace’s method; BIC criterion; Least absolute values regression; Model selection; Robust statistics (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2022.109764

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