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Article Dans Une Revue South African Statistical Journal Année : 2023

Variable selection in multivariate linear regression with random predictors

Résumé

We propose a method for variable selection in multivariate regression with random predictors. This method is based on a criterion that permits to reduce the variable selection problem to a problem of estimating a suitable set. Then, an estimator for this set is proposed and the resulting method for selecting variables is shown to be consistent. A simulation study that permits to study several properties of the proposed approach and to compare it with existing methods is given.
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Dates et versions

hal-04466810 , version 1 (19-02-2024)

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Alban Mbina Mbina, Guy Martial Nkiet, Assi N'Guessan. Variable selection in multivariate linear regression with random predictors. South African Statistical Journal, In press, 57, ⟨10.37920/sasj.2023.57.1.3⟩. ⟨hal-04466810⟩
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