2016/05/15 by Patrick Laurie Davies, Davies, Patrick Laurie
Mathematics · Engineering · #Advanced Statistical Methods and Models #Fault Detection and Control Systems #Control Systems and Identification
paper · pdf · doi:10.48550/arxiv.1605.04542
Given data y and k covariates x one problem in linear regression is to decide which in any of the covariates to include when regressing y on the x. If k is small it is possible to evaluate each subset of the x. If however k is large then some other procedure must be use. Stepwise regression and the lasso are two such procedures but they both assume a linear model with error term. A different approach is taken here which does not assume a model. A covariate is included if it is better than random noise. This defines a procedure which is simple both conceptually and algorithmically