On some stepdown procedures with application to consistent variable selection in linear regression |
| |
Authors: | Konrad Furmańczyk |
| |
Institution: | 1. Department of Applied Mathematics, Warsaw University of Life Sciences (SGGW), Nowoursynowska 159, 02-776 Warszawa, Polandkonfur@wp.pl |
| |
Abstract: | The paper considers the problem of consistent variable selection with the use of stepdown procedures in the classical linear regression model and for the model with dependent errors. The stated results complete the results obtained by Bunea et al. Consistent variable selection in high dimensional regression via multiple testing. J Stat Plann Inference. 2006;136(12):4349–4364]. |
| |
Keywords: | multiple hypothesis testing stepdown procedure consistent variable selection linear regression |
|