The Properties of Automatic Gets Modelling.
After reviewing the simulation performance of general-to-specific automatic regression-model selection, as embodied in PcGets, we show how model selection can be non-distortionary: approximately unbiased "selection estimates" are derived, with reported standard errors close to the sampling...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Blackwell Publishing
2005
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