Economic variable selection
Methodology
2021-03-19 v4
Abstract
Regression plays a key role in many research areas and its variable selection is a classic and major problem. This study emphasizes cost of predictors to be purchased for future use, when we select a subset of them. Its economic aspect is naturally formalized by the decision-theoretic approach. In addition, two Bayesian approaches are proposed to address uncertainty about model parameters and models: the restricted and extended approaches, which lead us to rethink about model averaging. From objective, rule-based, or robust Bayes point of view, the former is preferred. Proposed method is applied to three popular datasets for illustration.
Cite
@article{arxiv.1903.02136,
title = {Economic variable selection},
author = {Steven N. MacEachern and Koji Miyawaki},
journal= {arXiv preprint arXiv:1903.02136},
year = {2021}
}