Robust Information Criterion for Model Selection in Sparse High-Dimensional Linear Regression Models.
Prakash Borpatra GohainMagnus JanssonPublished in: IEEE Trans. Signal Process. (2023)
Keyphrases
- model selection
- information criterion
- high dimensional
- cross validation
- model selection criteria
- variable selection
- automatic model selection
- marginal likelihood
- bayesian information criterion
- hyperparameters
- parameter estimation
- probability model
- sample size
- selection criterion
- machine learning
- leave one out cross validation
- low dimensional
- regression model
- unsupervised learning
- gaussian process
- feature selection
- widely applicable
- least squares
- mixture model
- dimensionality reduction
- learning machines
- factor analysis
- generalization error
- feature space
- high dimensional data
- learning algorithm