Can the Strengths of AIC and BIC Be Shared ? ∗

  title={Can the Strengths of AIC and BIC Be Shared ? ∗},
  author={Yuhong Yang},
A traditional approach to statistical inference is to identify the true or best model first with little or no consideration of the specific goal of inference in the model identification stage. Can the pursuit of the true model also lead to optimal regression estimation? In model selection, it is well known that BIC is consistent in selecting the true model, and AIC is minimax-rate optimal for estimating the regression function. A recent promising direction is adaptive model selection, in which… CONTINUE READING
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