Efficient variable screening for multivariate analysis

It is shown how known algorithms for the comparison of all variables subsets in regression analysis can be adapted to subset comparisons in multivariate analysis, according to any index based on Wilks, Lawley Hotelling, or Bartlet-Pillai statistics and, in some special cases, according to any Function of Ihc sample squared canonical correlations. The issues regarding the choice of an appropriate comparison criterion are discussed. Thc computational effort of the proposed algorithms is studied, and it is argued thai. for a moderate number of variables, they should be preferred to stepwise selection methods. A software implementation of thy methods discussed is Freely available and can be downloaded from the Internet. (C) 2001 Academic Press. AMS 1991 subject classifications: 62H20; 62H30.