Multiple regression best subset
- To: mathgroup at smc.vnet.net
- Subject: [mg55565] Multiple regression best subset
- From: Ian Roberts <ian at quantica.com.au>
- Date: Wed, 30 Mar 2005 03:20:58 -0500 (EST)
- Reply-to: ian at quantica.com.au
- Sender: owner-wri-mathgroup at wolfram.com
Has anybody written any efficient code to perform multiple linear regression and find the best subset of a data set according to some criteria such as Adjusted R Squared or Mallows' statistic? The reason I say "efficient" is that an exhaustive search with Mathematica using Regress[ ] is taking me about 100 times the time it takes using the Excel add-in XLMiner. Regards, Ian