A consistent model selection for orthogonal regression under component-wise shrinkage |
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| Institution: | 1. Department of Statistics, University of Brasília, Brazil;2. National Supply Company, CONAB, Brazil;1. Department of Statistics, School of Management, Fudan University, Shanghai, China;2. Research and Analytics, Enterprise Risk Management, Fannie Mae, Washington, DC, USA;3. Department of Statistics, North Carolina State University, Raleigh, NC, USA;1. Department of Statistics, Florida State University, Tallahassee, FL, United States;2. Department of Statistics, Texas A & M University, College Station, TX, United States |
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| Abstract: | Several authors developed a series of model selection criteria for determining the major frequency components in harmonic analysis. In this paper, we considered another direction of the extension. Specifically, we proposed a model selection criterion for an orthogonal regression estimated with a component-wise shrinkage method and proved the consistency of the proposed criterion. Through simple numerical examples, we verified the performance of the proposed criterion with the empirical component-wise shrinkage estimator. Our criterion is fully empirical and thus can be applied directly for practical uses. |
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