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Efficient Variable Screening for Multivariate Analysis

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Author Info

  • Duarte Silva, António Pedro

Abstract

It is shown how known algorithms for the comparison of all variables subsets in regression analysis can be adapted to subset comparisons in multivariate analysis, according to any index based on Wilks, Lawley-Hotelling, or Bartllet-Pillai statistics and, in some special cases, according to any function of the sample squared canonical correlations. The issues regarding the choice of an appropriate comparison criterion are discussed. The computational effort of the proposed algorithms is studied, and it is argued that, for a moderate number of variables, they should be preferred to stepwise selection methods. A software implementation of the methods discussed is freely available and can be downloaded from the Internet.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 76 (2001)
Issue (Month): 1 (January)
Pages: 35-62

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Handle: RePEc:eee:jmvana:v:76:y:2001:i:1:p:35-62

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Related research

Keywords: variable selection algorithms discriminant analysis canonical correlation analysis additional information hypothesis multivariate indices;

References

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  1. Elliot Cramer & W. Nicewander, 1979. "Some symmetric, invariant measures of multivariate association," Psychometrika, Springer, vol. 44(1), pages 43-54, March.
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Citations

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Cited by:
  1. du Jardin, Philippe & Severin, Eric, 2011. "Forecasting financial failure using a Kohonen map: A comparative study to improve model stability over time," MPRA Paper 39935, University Library of Munich, Germany, revised 03 Apr 2012.
  2. Nkiet, Guy Martial, 2012. "Direct variable selection for discrimination among several groups," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 151-163.
  3. Michael Brusco & Renu Singh & Douglas Steinley, 2009. "Variable Neighborhood Search Heuristics for Selecting a Subset of Variables in Principal Component Analysis," Psychometrika, Springer, vol. 74(4), pages 705-726, December.
  4. A. Pedro Duarte Silva, 2009. "Exact and heuristic algorithms for variable selection: Extended Leaps and Bounds," Working Papers de Economia (Economics Working Papers) 01, Faculdade de Economia e Gestão, Universidade Católica Portuguesa (Porto).

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