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Re: Optimal variable selection in multiple linear regression ?
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.