Exact and heuristic algorithms for variable selection: Extended Leaps and Bounds
AbstractAn implementation of enhanced versions of the classical Leaps and Bounds algorithm for variable selection is provided. Features of this implementation include: (i) The availability of general routines capable of handling many different statistical methodologies and comparison criteria. (ii) Routines designed for exact and heuristic searches. (iii) The possibility of dealing with problems with more variables than observations. The implementation is supplied in two different ways: i) as a C++ library with abstract classes that can be specialized to different problems and criteria. ii) as a console application ready to be applied to searches according to some of the most important comparison criteria proposed to date. The code of the C++ library and console application described here, can be freely obtained by sending an email to the author.
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Bibliographic InfoPaper provided by Faculdade de Economia e Gestão, Universidade Católica Portuguesa (Porto) in its series Working Papers de Economia (Economics Working Papers) with number 01.
Length: 24 pages
Date of creation: Jan 2009
Date of revision:
Variable Selection Algorithms; All-Subsets; Heuristics;
Find related papers by JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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- Cadima, Jorge & Cerdeira, J. Orestes & Minhoto, Manuel, 2004. "Computational aspects of algorithms for variable selection in the context of principal components," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 225-236, September.
- 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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