Model selection criteria and the orthogonal series method for function estimation
- 19 November 2002
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
Abstract
Closed-form solutions are presented for function estimation using the orthogonal series method and various model selection criteria. While Akaike's (1974) AIC criterion does not lead to consistent estimates, a family of criteria that includes minimum description length operates within a logarithmic factor of the minimax rate in a range of Sobolev smoothness classes.Keywords
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