Optimal variable selection in multiple linear regression ?
- To: mathgroup at smc.vnet.net
- Subject: [mg74804] Optimal variable selection in multiple linear regression ?
- From: "Alex" <axel.kowald at rub.de>
- Date: Fri, 6 Apr 2007 04:16:37 -0400 (EDT)
Hello everybody, I try to use Mathematica to do a multiple linear regression. I'm using Regress and in principle everything works. However, because I have a large number of independent variables (>100), I would like to select only the most significant for the regression model. Is there already an algorithm implemented in Mathematica for selecting the best variables, or how else would I do it? Many thanks, Alex