A constrained minimum criterion for model selection

Abstract

We propose a hypothesis test based model selection criterion for the best subset selection of sparse linear models. We show it is consistent in that the probability of its choosing the true model approaches one and the parameter values of its chosen model converge in probability to that of the true model as the sample size goes to infinity. This criterion is capable of controlling the balance between the false active rate and false inactive rate of the selected model, and it can be applied with other methods of model selection such as the lasso. We also demonstrate its accuracy and advantages with a numerical comparison and an application.