A note on model selection for small sample regression

This paper proposes a modification of model selection criterion Direct Eigenvalue Estimator (DEE) for small sample regression proposed by Chapelle et al. (2002). The derivation of DEE requires neither an asymptotic assumption nor an assumption that the variance of noise is known in advance. Chapelle et al. (2002) reported that their model selection procedure performed well even when the data number was small but a little worse than ADJ (Schuurmans, 1997) on experiments. We point out, however, the derivation of DEE includes two mistakes. We further propose a slight modification to correct those mistakes. Our experiments verify that the modified DEE gives more stable model selection than the original DEE.