| 删失回归模型中的变量选择 |
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| 引用本文： | 金曼,方易新,赵林城.删失回归模型中的变量选择[J].应用概率统计,2005,21(2):141-149. |
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| 作者姓名： | 金曼 方易新 赵林城 |
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| 作者单位： | 中国科学技术大学统计与金融系,合肥,230026 |
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| 基金项目： | Research partially supported by National Natural Science Foundation of China (Grant No. 10471136)
Ph.D. Program Foundation of the Ministry of Education of China, and Special Foundations of the Chinese Academy of Science and USTC. |
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| 摘 要： | 在一个删失回归模型("Tobit"模型)中,我们常常要研究如何选择重要的预报变量.本文提出了基于信息理论准则的两种变量选择程序,并建立了它们的相合性.
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| 关 键 词： | 删失回归 LAD估计 信息理论准则 模型选择 |
| 修稿时间： | 2003年10月30 |
Variable Selection for Censored Regression Models |
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| JIN MAN FANG YIXIN ZHAO LINCHENG.Variable Selection for Censored Regression Models[J].Chinese Journal of Applied Probability and Statisties,2005,21(2):141-149. |
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| Authors: | JIN MAN FANG YIXIN ZHAO LINCHENG |
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| Abstract: | In many situations, we are interested in selection of important variables which are adequate for prediction under a censored regression model (known as the " Tobit " model). In this paper, some selection procedures based on the information theoretic criteria are proposed, and these procedures are proved to be consistent. |
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| Keywords: | Censored regression LAD estimator information theoretic criteria model selection |
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