Variable selection in multiple regression with random design
Statistics Theory
2015-06-29 v1 Statistics Theory
Abstract
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.
Cite
@article{arxiv.1506.08022,
title = {Variable selection in multiple regression with random design},
author = {Alban Mbina Mbina and Guy Martial Nkiet and Assi Nguessan},
journal= {arXiv preprint arXiv:1506.08022},
year = {2015}
}