Variable screening in multivariate linear regression with high-dimensional covariates

Variable screening in multivariate linear regression with high-dimensional covariates

We propose two variable selection methods in multivariate linear regression with high-dimensional covariates. The first method uses a multiple correlation coefficient to fast reduce the dimension of the relevant predictors to a moderate or low level. The second method extends the univariate forward...

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Bibliographic Details
Main Authors: Shiferaw B. Bizuayehu, Lu Li, Jin Xu
Format: Article
Language:English
Published: Taylor & Francis Group 2022-08-01
Series:Statistical Theory and Related Fields
Subjects:
dimension reduction
forward regression
multiple correlation coefficient
multivariate regression
variable selection
Online Access:http://dx.doi.org/10.1080/24754269.2021.1982607

Internet

http://dx.doi.org/10.1080/24754269.2021.1982607

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