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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2022-08-01
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| Series: | Statistical Theory and Related Fields |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/24754269.2021.1982607 |