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High-dimensional consistencies of KOO methods in multivariate regression model and discriminant analysis

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  • Fujikoshi, Yasunori

Abstract

In this paper, we review recent developments in high-dimensional consistencies of KOO methods for selection of variables in multivariate regression models and discriminant analysis models. The KOO methods considered are mainly based on general information criteria, but we take up also KOO methods based on some other selection methods. Some references are given for high-dimensional consistencies in some other multivariate models.

Suggested Citation

  • Fujikoshi, Yasunori, 2022. "High-dimensional consistencies of KOO methods in multivariate regression model and discriminant analysis," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    • Handle: RePEc:eee:jmvana:v:188:y:2022:i:c:s0047259x2100138x
    DOI: 10.1016/j.jmva.2021.104860
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    References listed on IDEAS

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    1. Yasunori Fujikoshi & Tamio Kan & Shin Takahashi & Tetsuro Sakurai, 2011. "Prediction error criterion for selecting variables in a linear regression model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(2), pages 387-403, April.
    2. Oda, Ryoya & Suzuki, Yuya & Yanagihara, Hirokazu & Fujikoshi, Yasunori, 2020. "A consistent variable selection method in high-dimensional canonical discriminant analysis," Journal of Multivariate Analysis, Elsevier, vol. 175(C).
    3. Ryoya Oda & Hirokazu Yanagihara & Yasunori Fujikoshi, 2021. "Strong Consistency of Log-Likelihood-Based Information Criterion in High-Dimensional Canonical Correlation Analysis," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 109-127, February.
    4. Fujikoshi, Yasunori & Sakurai, Tetsuro & Yanagihara, Hirokazu, 2014. "Consistency of high-dimensional AIC-type and Cp-type criteria in multivariate linear regression," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 184-200.
    5. Ning Hao & Bin Dong & Jianqing Fan, 2015. "Sparsifying the Fisher linear discriminant by rotation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 77(4), pages 827-851, September.
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    Cited by:

    1. Yasunori Fujikoshi & Tetsuro Sakurai, 2023. "High-Dimensional Consistencies of KOO Methods for the Selection of Variables in Multivariate Linear Regression Models with Covariance Structures," Mathematics, MDPI, vol. 11(3), pages 1-15, January.
    2. Brown, Nicholas & Westerlund, Joakim, 2023. "Testing factors in CCE," Economics Letters, Elsevier, vol. 230(C).

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