Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1149071 | Journal of Statistical Planning and Inference | 2006 | 15 Pages |
Abstract
Several authors developed a series of model selection criteria for determining the major frequency components in harmonic analysis. In this paper, we considered another direction of the extension. Specifically, we proposed a model selection criterion for an orthogonal regression estimated with a component-wise shrinkage method and proved the consistency of the proposed criterion. Through simple numerical examples, we verified the performance of the proposed criterion with the empirical component-wise shrinkage estimator. Our criterion is fully empirical and thus can be applied directly for practical uses.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Katsuyuki Hagiwara,