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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: [mg74948] Re: Optimal variable selection in multiple linear regression ?
  • From: "fkampas" <fkampas at verizon.net>
  • Date: Thu, 12 Apr 2007 04:53:01 -0400 (EDT)
  • References: <ev4vla$8pn$1@smc.vnet.net>

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
>
> 



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