Model selection by sequentially normalized least squares
نویسندگان
چکیده
منابع مشابه
Model selection by sequentially normalized least squares
Model selection by the predictive least squares (PLS) principle has been thoroughly studied in the context of regression model selection and autoregressive (AR) model order estimation. We introduce a new criterion based on sequentially minimized squared deviations, which are smaller than both the usual least squares and the squared prediction errors used in PLS. We also prove that our criterion...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2010
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2009.12.009