We propose a new criterion for model selection in prediction problems. The covariance inflation criterion adjusts the training error by the average covariance of the ...
The purpose of statistical model selection is to identify a parsimonious model, which is a model that is as simple as possible while maintaining good predictive ability over the outcome of interest.
In this paper we discuss how to use wavelet decompositions to select a regression model. The methodology relies on a minimum description length criterion which is used to determine the number of ...
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