Conditional p-values for the F-statistic in a forward selection procedure

DOI10.1016/0167-9473(94)00047-MMaRDI QIDQ672522zbMATH OpenOpenAlexFDO

Authors Eugene Grechanovsky, Ilia Pinsker

Publication date 28 February 1997

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-9473(94)00047-m

zbMATH Keywords

Monte CarloRegressionConditioning on the pastMultidimensional integralsStepwise significance testingVariable selection

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear inference, regression (62J99) Probabilistic methods, stochastic differential equations (65C99)

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Cites work

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• A Biometrics Invited Paper. The Analysis and Selection of Variables in Linear Regression
• A Stopping Rule for Variable Selection in Multiple Regression
• Actual rejection levels in a certain stepwise test
• Algorithm 717: Subroutines for maximum likelihood and quasi-likelihood estimation of parameters in nonlinear regression models
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Algorithm AS 251: Multivariate Normal Probability Integrals with Product Correlation Structure
• Bounds on theP-value of the best fitting regressor variable calculated to a prespecified accuracy
• Corrigendum
• Selection of Subsets of Regression Variables
• Selection of Variables in Multiple Regression: Part II. Chosen Procedures, Computations and Examples
• The Little Bootstrap and Other Methods for Dimensionality Selection in Regression: X-Fixed Prediction Error
• The Significance Attained by the Best-Fitting Regressor Variable
• The Use of an F-Statistic in Stepwise Regression Procedures
• The distribution of certain regression statistics
• The use of conditional cutoffs in a forward selection procedure

Cited in

(4)

• The use of conditional cutoffs in a forward selection procedure
• Bounds on theP-value of the best fitting regressor variable calculated to a prespecified accuracy
• Applied regression analysis bibliography update 1994-97
• Adjusting Stepwisep-Values in Generalized Linear Models

Describes a project that uses

Uses Software

• Algorithm 725
• AS 195
• nlr

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