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
收藏
页码：27 / 44
页数：18
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