SCAD regression model selection with information criteria for multivariate response models
Year: 2025
Type: article
Abstract: This paper provides an objective function for smoothly clipped absolute deviation (SCAD) regression models with multivariate responses. The log-likelihood of a multivariate normal distribution is considered instead of $L_2$ norm to create the model's objective function. Additionally, the SCAD penalty has a tuning parameter, and the information criteria, suitable for the proposed model are presented to select the tuning parameter. Based on numerical studies, the consistency of the proposed information criteria is checked via simulation experiments. Moreover, the best criterion is introduced using simulated and real datasets.
Authors: Amirhossein Ghatari, Omid Naghshineh Arjmand, Mina Aminghafari
Institution: Amirkabir University of Technology
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W7102765158
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