Admissible, consistent multiple testing with applications including variable selection
Chuanwen Chen, Arthur Cohen, and Harold B. Sackrowitz
Source: Electron. J. Statist. Volume 3
(2009), 633-650.
Abstract
For multivariate normal models and some exponential family models a multiple testing stepwise method is offered that is both admissible and consistent. The method is readily adaptable to selecting variables in linear regression models where it is akin to the forward selection method plus a screening stage plus a sign compatibility stage.
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Keywords: backward method; exponential family; forward method; linear regression; step-down procedures; step-up procedures; variable selection
Full-text: Open access
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Permanent link to this document: http://projecteuclid.org/euclid.ejs/1247231686
Digital Object Identifier: doi:10.1214/09-EJS391
Mathematical Reviews number (MathSciNet): MR2521214
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