Model Selection Path and Construction of Model Confidence Set under High-Dimensional Variables

Model Selection Path and Construction of Model Confidence Set under High-Dimensional Variables

Model selection uncertainty has drawn a lot of attention from academics recently because it significantly affects parameter estimation and prediction. Scholars are currently addressing and quantifying uncertainty in model selection by concentrating on model combining and model confidence sets. In th...

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Bibliographic Details
Main Authors: Faguang Wen, Jiming Jiang, Yihui Luan
Format: Article
Language:English
Published: MDPI AG 2024-02-01
Series:Mathematics
Subjects:
model confidence sets
model selection
variable selection
high-dimensional variables
model averaging
uncertainty in model selection
Online Access:https://www.mdpi.com/2227-7390/12/5/664

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https://www.mdpi.com/2227-7390/12/5/664

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