A SELECTION PROBLEM FOR A CONSTRAINED LINEAR REGRESSION MODEL

作者：Lai Shaoyong^*; Xie Qichang

来源：Journal of Industrial and Management Optimization, 2008, 4(4): 757-766.

• Model selection
• constrained linear regression model
• generalized information criterion
• optimally

Selecting a good estimate for a constricted linear regression model is investigated by using the generalized information criterion. Some asymptotic properties of the selection procedure with the model average technique are established. It is shown that the selection procedure is asymptotically efficient in the sense that a fitted estimate asymptotically obtains the minimum average squared error from a class of model average estimation.

• 出版日期2008-11
• 单位西南大学