1
vote
1answer
56 views

Numeric example of data for special case of stepwise linear regression

Stepwise Regression works as follows if I'm correct: fit the initial model add the variable which has its f-stat larger than a in-threshold and repeat step 2. if there are no candidates to enter - ...
1
vote
1answer
163 views

Implement Forward, Backward, Step and LASSO in VB .NET

My client wants me to implement Variable selection methods i.e. Forward, Backward, Step and LASSO in VB .Net platform including p-value and AIC. I have no idea about the steps involved to calculate ...
1
vote
1answer
59 views

Can I select a subset of predictor variables without using step()?

I have a set of 20 predictor variables, and I want to formulate a regression model by applying my own variable selection technique basically with backward approach (just for an experiment purpose.) ...
11
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2answers
445 views

Bayesian variable selection — does it really work?

I thought I might toy with some Bayesian variable selection, following a nice blog post and the linked papers therein. I wrote a program in rjags (where I am quite a rookie) and fetched price data ...
4
votes
0answers
151 views

Variable Selection One by One vs Simultaneously

The high dimensional variable selection problem is really popular now. But I have a question: If I do simple linear regression regressing one response variable on 1 covariate at a time first and then ...
3
votes
2answers
308 views

Variable analysis in multiple linear regression

I'm investigating how some weather variables (15) affect electricity demand in a specific area during the last 20 years. I was thinking to perform the following steps: 1. Perform Multiple Linear ...
12
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2answers
5k views

How to deal with multicollinearity when performing variable selection?

I have a dataset with 9 continuous independent variables. I'm trying to select amongst these variables to fit a model to a single percentage (dependent) variable, ...
1
vote
3answers
1k views

Use of PCA analysis to select variables for a regression analysis

I have too many environmental variables to use in a multiple regression analysis. If I use all the variables the models are just too complex. The use of the PCA axes in the regression analysis was ...