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MathGroup Archive 2007

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Re: Optimal variable selection in multiple linear regression ?

  • To: mathgroup at smc.vnet.net
  • Subject: [mg74834] Re: Optimal variable selection in multiple linear regression ?
  • From: "Ray Koopman" <koopman at sfu.ca>
  • Date: Sat, 7 Apr 2007 04:04:16 -0400 (EDT)
  • References: <ev4vla$8pn$1@smc.vnet.net>

Alex wrote:
> 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

I think you might benefit from some what-to-do statistical advice,
before getting into how to do it in Mathematica. Try asking in
sci.stat.consult.



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