We investigate a new approach to estimating a regression function based on copulas. The main idea behind this approach is to write the regression function in terms of a copula and marginal distributions. Once the copula and the marginal distributions are estimated, we use the plug-in method to...

Bayesian information criterion (BIC) is known to identify the true model consistently as long as the predictor dimension is finite. Recently, its moderate modifications have been shown to be consistent in model selection even when the number of variables diverges. Those works have been done...