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PETER J. KEMPTHORNE, Admissible variable-selection procedures when fitting regression models by least squares for prediction, Biometrika, Volume 71, Issue 3, December 1984, Pages 593–597, https://doi.org/10.1093/biomet/71.3.593
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Abstract
SUMMARY
Given data with a single dependent variable arising from a normal linear regression model, a variable-selection procedure completely specifies a least squares fit by choosing the subset of the independent variables to include in the model. For loss equal to squared error of prediction, we prove that all variable-selection procedures are admissible for choosing among least-squares fits of the regression model.
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© 1984 Biometrika Trust
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