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Computation of a Best Subset in Multivariate Analysis

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  • C. E. McHenry

Abstract

In this paper, it is shown that some of the efficient procedures used to select “good” regressions in multiple regression may also be used in multivariate analysis. In addition, a new algoritym is proposed that is a compromise between examining all possible subsets and other procedures such as stepwise which do not guarantee an optimum solution.

Suggested Citation

  • C. E. McHenry, 1978. "Computation of a Best Subset in Multivariate Analysis," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 27(3), pages 291-296, November.
    • Handle: RePEc:bla:jorssc:v:27:y:1978:i:3:p:291-296
    DOI: 10.2307/2347164
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    Cited by:

    1. Mary-Huard, Tristan & Robin, Stéphane & Daudin, Jean-Jacques, 2007. "A penalized criterion for variable selection in classification," Journal of Multivariate Analysis, Elsevier, vol. 98(4), pages 695-705, April.
    2. Duarte Silva, António Pedro, 2001. "Efficient Variable Screening for Multivariate Analysis," Journal of Multivariate Analysis, Elsevier, vol. 76(1), pages 35-62, January.

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