Variable screening in multivariate linear regression with high-dimensional covariates

• Published in: Statistical theory and related fields Vol. 6; no. 3; pp. 241 - 253
• Main Authors: Bizuayehu, Shiferaw B., Li, Lu, Xu, Jin
• Format: Journal Article
• Language: English
• Published: Taylor & Francis 26.08.2022; Taylor & Francis Group
• Subjects: Dimension reduction; forward regression; multiple correlation coefficient; multivariate regression; variable selection

We propose two variable selection methods in multivariate linear regression with high-dimensional covariates. The first method uses a multiple correlation coefficient to fast reduce the dimension of the relevant predictors to a moderate or low level. The second method extends the univariate forward...