note12 - STAT5044: Regression and Anova Inyoung Kim Outline...

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STAT5044: Regression and Anova Inyoung Kim
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Outline 1 Variable selection
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Added variable plot Scatter plot of residual ( Y | x 1 ,..., x k - 1 ) = Y axis and residual ( x k | x 1 ,..., x k - 1 ) = X axis Y axis =The residual ( Y | x 1 ,..., x k - 1 ) vs X axis =the residual ( x k | x 1 ,..., x k - 1 ) If there is a nice linear relationship in added variable plot, one should add x k into the model
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Variable selection methods Sequential variable selction: forward selection backword elimination stepwise regression All possible subset selection using these criterians, adjusted R 2 , Mallot’s C p
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Forward selection Adding variable (covariate) one at a time Step1: Put the covariate associated with the largest R 2 into the model Step2: Suppose x 2 ,..., x k - 1 are already in the model. choose the covariate with r 2 y , x k | x 1 ,..., x k - 1 ,the largest partial correlation coeff., as the next candiate. Step3: Evaluate
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This note was uploaded on 01/02/2012 for the course STAT 5044` taught by Professor Staff during the Fall '11 term at Virginia Tech.

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note12 - STAT5044: Regression and Anova Inyoung Kim Outline...

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