Optimal model selection for stationary data under various mixing conditions


The history of statistical model selection goes back at least to Akaike [Aka70], [Aka73] and Mallows [Mal73]. They proposed to select among a collection of parametric models the one which minimizes an empirical loss plus some penalty term proportional to the dimension of the models. Birgé & Massart [BM97] and Barron, Birgé & Massart [BBM99] generalize this… (More)



Citations per Year

Citation Velocity: 6

Averaging 6 citations per year over the last 3 years.

Learn more about how we calculate this metric in our FAQ.