Computation of a Best Subset in Multivariate Analysis

C. E. McHenry

Journal of the Royal Statistical Society Series C, 1978, vol. 27, issue 3, 291-296

Abstract: In this paper, it is shown that some of the efficient procedures used to select “good” regressions in multiple regression may also be used in multivariate analysis. In addition, a new algoritym is proposed that is a compromise between examining all possible subsets and other procedures such as stepwise which do not guarantee an optimum solution.

Date: 1978
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