Evaluation and selection of models for out-of-sample prediction when the sample size is small relative to the complexity of the data-generating process

Leeb, Hannes . Bernoulli 2008. 14 (3) :661-690

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Bibtex

@article{CIS-265612,
  Author = {Leeb, Hannes},
  Title = {Evaluation and selection of models for out-of-sample prediction when the sample size is small relative to the complexity of the data-generating process},
  Journal = {Bernoulli},
  Volume = {14},
  Number = {3},
  Year = {2008},
  Pages = {661--690},
  Keywords = {Conditional limit theorem, Random allocations, Cramér–Wold theorem, Small sample size, Generalized cross validation, Model selection, Nonparametric regression, large number of parameters, S_p criterion}
}

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