Variable selection in multiple regression with random design

Mbina Mbina, Alban; Nkiet, Guy Martial; Nguessan, Assi

Document type :

Pré-publication ou Document de travail

Title :

Variable selection in multiple regression with random design

Author(s) :

Mbina Mbina, Alban [Auteur]
Unité de recherche en mathématiques et informatique [Université des Sciences et Techniques de Masuku] [URMI]
Nkiet, Guy Martial [Auteur]
Unité de recherche en mathématiques et informatique [Université des Sciences et Techniques de Masuku] [URMI]
Nguessan, Assi [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]

English keyword(s) :

Consistency
Selection criterion
Multiple linear regression
Random design
Variable selection

HAL domain(s) :

Statistiques [stat]/Théorie [stat.TH]

English abstract : [en]

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 ...
Show more >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.Show less >

Language :

Anglais

Collections :

Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL

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1506.08022
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