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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