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A Randomization Method To Control The Type I Error Rates In Best Subset Regression, Yasser A. Shehata, Paul White
A Randomization Method To Control The Type I Error Rates In Best Subset Regression, Yasser A. Shehata, Paul White
Journal of Modern Applied Statistical Methods
A randomization method for the assessment of statistical significance for best subsets regression is given. The procedure takes into account the number of potential predictors and the inter-dependence between predictors. The approach corrects a non-trivial problem with Type I errors and can be used to assess individual variable significance.