Model selection for future data in the case of multivariate regression analysis

The problem of variable selection in multivariate regression analysis is considered. The method of predictive sample reuse derived by Geisser and Eddy is extended to the multivariate linear regression case. By applying this method to real data it is compared with McKay's ""adequate su...

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Veröffentlicht in:	South African statistical journal 1983-01, Vol.17 (2), p.147-164
1. Verfasser:	Van der Merwe, A.J., Groenewald, P.C.N., D e WaaL, D.J. and Van der Merwe, C.A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Adequate subsets Allen's PRESS Mallows' C p statistic, Model selection Multivariate linear regression Predictive sample reuse Simultaneous test procedures
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Zusammenfassung:	The problem of variable selection in multivariate regression analysis is considered. The method of predictive sample reuse derived by Geisser and Eddy is extended to the multivariate linear regression case. By applying this method to real data it is compared with McKay's ""adequate subsets"" procedure, Mallows' Cp statistic and Allen's PRESS.
ISSN:	0038-271X