Model selection for high-dimensional linear regression with dependent observations.
Ching-Kang IngPublished in: CoRR (2019)
Keyphrases
- model selection
- linear regression
- high dimensional
- generalized linear models
- variable selection
- cross validation
- least squares
- regression methods
- regression model
- hyperparameters
- sample size
- mixture model
- multivariate regression
- parameter estimation
- low dimensional
- machine learning
- dimensionality reduction
- ridge regression
- feature space
- generalization error
- nonlinear regression
- feature selection
- high dimensional data
- selection criterion
- information criterion
- automatic model selection
- gaussian process
- dimension reduction
- marginal likelihood
- parameter space
- data points