variable selection strategies noteshells

# variable selection strategies noteshells - Variable...

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Multiple Regression: Variable Selection 1 Multiple Regression 3: Variable Selection 1 Variable Selection Strategies Section 15.4 and elsewhere Multiple Regression 3: Variable Selection 2 Variable Selection Up to now, we have used all variables available. Here we discuss how you might choose a “best” subset of variables.

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Multiple Regression: Variable Selection 2 Multiple Regression 3: Variable Selection 3 Approaches h Using some kind of selection algorithm h Using an "all possible" or "many" regressions approach. Multiple Regression 3: Variable Selection 4 Using a selection algorithm Backwards elimination : put all Xs in the model to start. Remove one at a time by using T-tests. Forward selection : Use correlation to find best X. Fit model and get residuals. Use residual correlation to find next X.
Multiple Regression: Variable Selection 3 Multiple Regression 3: Variable Selection 5 The Backward Elimination Heuristic 1. Regress Y on all k potential X variables 2. Use t-tests to determine which X has the least amount of significance 3. If this X does not meet some minimum level of significance, remove it from the model 4. Regress Y on the set of k-1 X variables Repeat 2-4 until all remaining Xs meet minimum Multiple Regression 3: Variable Selection 6 Idea behind backward elimination If t stat not significant, we can remove an X and simplify the model while still maintaining the model’s high R 2 . A typical stopping rule: Continue until all Xs meet some target “significance level to stay” (often .10 or .15).

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Multiple Regression: Variable Selection 4 Multiple Regression 3: Variable Selection 7 Backwards elimination with newsprint data Variables In R 2 AdjR 2 S Worst X Action ___________ ___ ______ ____ ________ _________ ___________ ___ ______ ____ ________ _________ ___________ ___ ______ ____ ________ _________ ___________ ___ ______ ____ ________ _________ ___________ ___ ______ ____ ________ _________ Multiple Regression 3: Variable Selection
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## This note was uploaded on 02/14/2011 for the course QMB 3250 taught by Professor Thompson during the Spring '08 term at University of Florida.

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variable selection strategies noteshells - Variable...

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