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Biometrika 1981 68(1):45-54; doi:10.1093/biomet/68.1.45
© 1981 by Biometrika Trust
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An optimal selection of regression variables

RITEI SHIBATA

Department of Mathematics, Tokyo Institute of Technology

An asymptotically optimal selection of regression variables is proposed. The key assumption is that the number of control variables is infinite or increases with the sample size. It is also shown that Mallows's Cp', Akaike's FPE and aic methods are all asymptotically equivalent to this method.

Key Words: Selection of variables • Regression analysis • Multiple regression


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