Fujikoshi, Yasunori; Sakurai, Tetsuro; Yanagihara, Hirokazu - In: Journal of Multivariate Analysis 123 (2014) C, pp. 184-200
The AIC, the multivariate Cp and their modifications have been proposed for multivariate linear regression models under a large-sample framework when the sample size n is large, but the dimension p of the response variables is fixed. In this paper, first we propose a high-dimensional AIC...