Abstract
In this paper, a linear model selection procedure based on M-estimation is proposed, which includes many classical model selection criteria as its special cases. It is shown that the proposed criterion is strongly consistent under certain mild conditions, for instance without assuming normality of the distribution of the random errors. The results from a simulation study are also presented.
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Received: 13 October 1997 / Revised version: 10 August 1998
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Wu, Y., Zen, M. A strongly consistent information criterion for linear model selection based on M-estimation. Probab Theory Relat Fields 113, 599–625 (1999). https://doi.org/10.1007/s004400050219
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DOI: https://doi.org/10.1007/s004400050219
- Mathematics Subject Classification (1991): 62J05, 62F35, 62F12