Abstract #301655

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JSM 2003 Abstract #301655
Activity Number: 18
Type: Contributed
Date/Time: Sunday, August 3, 2003 : 2:00 PM to 3:50 PM
Sponsor: ENAR
Abstract - #301655
Title: A New Adaptive Variable Selection Method
Author(s): Liang Wang*+
Companies: University of Pennsylvania
Address: 400 JMH Hall, Philadelphia, PA, 19104-6302,
Keywords: variable selection ; adaptive ; minimax ; model selection
Abstract:

Given a dependent variable Y, we can have thousands of feature variables. So we want to choose the most useful variables and make our prediction more accurate. Suppose independent variable matrix X is orthogonal, and the error is standarized normal, we will give a new variable selection method. In theory, this method is as good as the unknown minimax method. This variable selection rule is adaptive in that it will fit to compature the characteristic of model's fullness.

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