Laplace's method and BIC model selection for least absolute value criterion
Résumé
In this paper, we provide an answer to the following question: in the particular case of a nondifferentiable likelihood, is the formula for the BIC model selection criterion the same? More precisely, we obtain the Laplace method for a sum-of-absolute-values function and we deduce that the usual BIC formula with penalty in log(n) remains the same in the context of a selection of explanatory variables by least absolute value regression.
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