Admissible, consistent multiple testing with applications including variable selection

Chuanwen Chen; Arthur Cohen; Harold B. Sackrowitz

doi:10.1214/09-EJS391

Admissible, consistent multiple testing with applications including variable selection

Chuanwen Chen, Arthur Cohen, Harold B. Sackrowitz

School of Arts and Sciences, Statistics

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

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.

Original language	English (US)
Pages (from-to)	633-650
Number of pages	18
Journal	Electronic Journal of Statistics
Volume	3
DOIs	https://doi.org/10.1214/09-EJS391
State	Published - 2009

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

Keywords

Backward method
Exponential family
Forward method
Linear regression
Step-down procedures
Step-up procedures
Variable selection

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10.1214/09-EJS391

Cite this

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title = "Admissible, consistent multiple testing with applications including variable selection",

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.",

keywords = "Backward method, Exponential family, Forward method, Linear regression, Step-down procedures, Step-up procedures, Variable selection",

author = "Chuanwen Chen and Arthur Cohen and Sackrowitz, {Harold B.}",

year = "2009",

doi = "10.1214/09-EJS391",

language = "English (US)",

volume = "3",

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publisher = "Institute of Mathematical Statistics",

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T1 - Admissible, consistent multiple testing with applications including variable selection

AU - Chen, Chuanwen

AU - Cohen, Arthur

AU - Sackrowitz, Harold B.

PY - 2009

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AB - 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.

KW - Backward method

KW - Exponential family

KW - Forward method

KW - Linear regression

KW - Step-down procedures

KW - Step-up procedures

KW - Variable selection

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DO - 10.1214/09-EJS391

M3 - Article

AN - SCOPUS:79960064496

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EP - 650

JO - Electronic Journal of Statistics

JF - Electronic Journal of Statistics

ER -

Admissible, consistent multiple testing with applications including variable selection

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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