首页 | 本学科首页   官方微博 | 高级检索  
     检索      


Consistent variable selection via the optimal discovery procedure in multiple testing
Authors:Li Wang
Institution:School of Science, China University of Mining and Technology (Beijing), Beijing, China
Abstract:In this paper, we translate variable selection for linear regression into multiple testing, and select significant variables according to testing result. New variable selection procedures are proposed based on the optimal discovery procedure (ODP) in multiple testing. Due to ODP’s optimality, if we guarantee the number of significant variables included, it will include less non significant variables than marginal p-value based methods. Consistency of our procedures is obtained in theory and simulation. Simulation results suggest that procedures based on multiple testing have improvement over procedures based on selection criteria, and our new procedures have better performance than marginal p-value based procedures.
Keywords:Consistent variable selection  linear regression  multiple hypotheses testing  optimal discovery procedure  
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号