Solutions_to_HW_5_Problems - 9.5 If the alpha-to-enter...

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9.4 Using a large alpha-to-enter value allows more variables into the model resulting in a better fit, however we must be carefull here with overfitting. Using a smaller alpha- to-enter value would prevent overfitting and selecting too many predictor variables resulting in an overly complicated model. The role of the analyst is in finding a sensible balance depending on the specific case he or she is dealing with.
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Unformatted text preview: 9.5 If the alpha-to-enter value exceeds the alpha-to-remove value we may end up with a situation where some variables keep getting added into the model (because their p-value is less than the alpha-to-enter value) and are later removed (because their p-value, recalculated with respect to the rest of the variables currently in the model, exceeds the alpha-to-remove value)....
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This note was uploaded on 11/28/2009 for the course STAT 4315 taught by Professor Heuter during the Fall '09 term at Columbia.

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