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A New Approach to Variable Selection Using the TLS Approach

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2 Author(s)
Jean-Jacques Fuchs ; IRISA, Rennes I Univ. ; Sbastien Maria

The problem of variable selection is one of the most important model selection problems in statistical applications. It is also known as the subset selection problem and arises when one wants to explain the observations or data adequately by a subset of possible explanatory variables. The objective is to identify factors of importance and to include only variables that contribute significantly to the reduction of the prediction error. Numerous selection procedures have been proposed in the classical multiple linear regression model. We extend one of the most popular methods developed in this context, the backward selection procedure, to a more general class of models. In the basic linear regression model, errors are present on the observations only, if errors are present on the regressors as well, one gets the errors-in-variables model which for Gaussian noise becomes the total-least-squares (TLS) model, this is the context considered here

Published in:

IEEE Transactions on Signal Processing  (Volume:55 ,  Issue: 1 )