Variable selection in multiple regression with random design

Autor:	Mbina, Alban Mbina, Nkiet, Guy Martial, Nguessan, Assi
Rok vydání:	2015
Předmět:	Mathematics - Statistics Theory
Druh dokumentu:	Working Paper
Popis:	We propose a method for variable selection in multiple regression with random predictors. This method is based on a criterion that permits to reduce the variable selection problem to a problem of estimating suitable permutation and dimensionality. Then, estimators for these parameters are proposed and the resulting method for selecting variables is shown to be consistent. A simulation study that permits to gain understanding of the performances of the proposed approach and to compare it with an existing method is given.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1506.08022 Zobrazit plný text záznamu View this record from Arxiv