Variable selection in multivariate linear regression with random predictors

被引：0

作者：

Mbina, Alban Mbina ^{[1
]}

Nkiet, Guy Martial ^{[1
]}

N'guessan, Assi ^{[2
]}

机构：

[1] Univ Sci & Tech Masuku, Dept Math & Informat, Franceville, Gabon

[2] Univ Lille, Lab Paul Painleve, UMR CNRS 8524, F-59655 Villeneuve dAscq, France

来源：

SOUTH AFRICAN STATISTICAL JOURNAL | 2023年 / 57卷 / 01期

关键词：

Multivariate linear regression; Selection criterion; Variable selection; MODEL SELECTION; MULTIPLE-REGRESSION; CRITERION;

D O I：

10.37920/sasj.2023.57.1.3

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We propose a method for variable selection in multivariate regression with random predictors. This method is based on a criterion that permits to reduce the variable selection problem to a problem of estimating a suitable set. Then, an estimator for this set is proposed and the resulting method for selecting variables is shown to be consistent. A simulation study that permits to study several properties of the proposed approach and to compare it with existing methods is given.

引用

页码：27 / 44

页数：18

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