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Title: On the consistency of coordinate-independent sparse estimation with BIC
Authors: Zou, C.
Chen, X. 
Keywords: BIC
Central subspace
Sufficient dimension reduction
Variable selection
Issue Date: Nov-2012
Citation: Zou, C., Chen, X. (2012-11). On the consistency of coordinate-independent sparse estimation with BIC. Journal of Multivariate Analysis 112 : 248-255. ScholarBank@NUS Repository.
Abstract: Chen et al. (2010) [1] propose a unified method-coordinate-independent sparse estimation (CISE)-that is able to simultaneously achieve sparse sufficient dimension reduction and screen out irrelevant and redundant variables efficiently. However, its attractive features depend on the appropriate choice of the tuning parameter. In this note, we re-examine the Bayesian information criterion (BIC) in sufficient dimension reduction and provide a heuristic derivation. Furthermore, the CISE with BIC is shown to be able to identify the true model consistently. © 2012 Elsevier Inc.
Source Title: Journal of Multivariate Analysis
ISSN: 0047259X
DOI: 10.1016/j.jmva.2012.04.014
Appears in Collections:Staff Publications

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