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Selection consistency of EBIC for GLIM with non-canonical links and diverging number of parameters. (English) Zbl 1327.62429

Summary: In this article, we investigate the properties of the EBIC in variable selection for generalized linear models with noncanonical links and a diverging number of parameters in ultra-high dimensional feature space. The selection consistency of the EBIC in this situation is established under moderate conditions. The finite sample performance of the EBIC coupled with a forward selection procedure is demonstrated through simulation studies and a real data analysis.

MSC:

62J12 Generalized linear models (logistic models)
62P10 Applications of statistics to biology and medical sciences; meta analysis
62F07 Statistical ranking and selection procedures
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