Given data $y$ and $k$ covariates $x$ the problem is to decide which covariates to include when approximating $y$ by a linear function of the covariates. The decision is based on replacing subsets of the covariates by i.i.d. normal random variables and comparing the error with that obtained by retaining the subsets. If the two errors are not significantly different for a particular subset it is concluded that the covariates in this subset are no better than random noise and they are not included in the linear approximation to $y$.
此内容由惯性聚合(RSS阅读器)自动聚合整理，仅供阅读参考。 原文来自 — 版权归原作者所有。