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The Hannan-Quinn Proposition for Linear Regression
Hannan-Quinn linear regression the law of iterated logarithms strong consistency
2011/2/23
We consider the variable selection problem in linear regression. Suppose that we have a set
of random variables X1, · · · ,Xm, Y, ǫ such that Y = Pk2 αkXk +ǫ with π ⊆ {1, · · · ,m} a...