Statistics and Its Interface
Volume 6 (2013)
Selection consistency of EBIC for GLIM with non-canonical links and diverging number of parameters
Pages: 275 – 284
In this article, we investigate the properties of the EBIC in variable selection for generalized linear models with noncanonical links and a diverging number of parameters in ultra-high dimensional feature space. The selection consistency of the EBIC in this situation is established under moderate conditions. The finite sample performance of the EBIC coupled with a forward selection procedure is demonstrated through simulation studies and a real data analysis.
extended BIC, generalized linear model, non-canonical links, selection consistency, variable selection
2010 Mathematics Subject Classification
Primary 62Fxx. Secondary 62J12.
Published 10 May 2013