Extending AIC to best subset regression

Jiangang (Jason) Liao, Joseph E. Cavanaugh, Timothy L. McMurry

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

The Akaike information criterion (AIC) is routinely used for model selection in best subset regression. The standard AIC, however, generally under-penalizes model complexity in the best subset regression setting, potentially leading to grossly overfit models. Recently, Zhang and Cavanaugh (Comput Stat 31(2):643–669, 2015) made significant progress towards addressing this problem by introducing an effective multistage model selection procedure. In this paper, we present a rigorous and coherent conceptual framework for extending AIC to best subset regression. A new model selection algorithm derived from our framework possesses well understood and desirable asymptotic properties and consistently outperforms the procedure of Zhang and Cavanaugh in simulation studies. It provides an effective tool for combating the pervasive overfitting that detrimentally impacts best subset regression analysis so that the selected models contain fewer irrelevant predictors and predict future observations more accurately.

Original languageEnglish (US)
Pages (from-to)787-806
Number of pages20
JournalComputational Statistics
Volume33
Issue number2
DOIs
StatePublished - Jun 1 2018

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Computational Mathematics

Fingerprint Dive into the research topics of 'Extending AIC to best subset regression'. Together they form a unique fingerprint.

Cite this