Efficient algorithms for computing the best subset regression models for large-scale problems

DOI10.1016/j.csda.2007.03.017zbMath1452.62497OpenAlexW2111289335MaRDI QIDQ1020780

Marc Hofmann, Cristian Gatu, Erricos John Kontoghiorghes

Publication date: 2 June 2009

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

Full work available at URL: https://doi.org/10.1016/j.csda.2007.03.017

zbMATH Keywords

branch-and-bound algorithmregression treebest-subset regression

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Linear regression; mixed models (62J05) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57)

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Uses Software

• R
• SenSrivastava
• AS 163
• AS 199

Cites Work

• All possible subset regressions using the QR decomposition
• A graph approach to generate all possible regression submodels
• Efficient strategies for deriving the subset VAR models
• Better Subset Regression Using the Nonnegative Garrote
• Regressions by Leaps and Bounds
• A Biometrics Invited Paper. The Analysis and Selection of Variables in Linear Regression
• A Branch and Bound Algorithm for Feature Subset Selection
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• The elements of statistical learning. Data mining, inference, and prediction
• Parallel algorithms for linear models. Numerical methods and estimation problems
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