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Model selection: A Lagrange optimization approach
Authors:Yongli Zhang
Institution:School of Statistics, University of Minnesota, USA
Abstract:This paper proposes an adaptive model selection criterion with a data-driven penalty term. We treat model selection as an equality constrained minimization problem and develop an adaptive model selection procedure based on the Lagrange optimization method. In contrast to Akaike's information criterion (AIC), Bayesian information criterion (BIC) and most other existing criteria, this new criterion is to minimize the model size and take a measure of lack-of-fit as an adaptive penalty. Both theoretical results and simulations illustrate the power of this criterion with respect to consistency and pointwise asymptotic loss efficiency in the parametric and nonparametric cases.
Keywords:Adaptive model selection  Lagrange optimization  Consistency  Pointwise asymptotic loss efficiency
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