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Re: Optimal variable selection in multiple linear regression ?
Looking at the P values that Regress gives you would be a start to finding out which are significant. "Alex" <axel.kowald at rub.de> wrote in message news:ev4vla$8pn$1 at smc.vnet.net... > 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 > >