首页   按字顺浏览 期刊浏览 卷期浏览 Inflation of R2in Best Subset Regression
Inflation of R2in Best Subset Regression

 

作者: AlvinC. Rencher,   FuCeayong Pun,  

 

期刊: Technometrics  (Taylor Available online 1980)
卷期: Volume 22, issue 1  

页码: 49-53

 

ISSN:0040-1706

 

年代: 1980

 

DOI:10.1080/00401706.1980.10486100

 

出版商: Taylor & Francis Group

 

关键词: Regression;Subset selection;Multiple correlation coefficient;Stepwise regression;Monte Carlo

 

数据来源: Taylor

 

摘要:

When subset selection is used in regression the expected value ofR2is substantially inflated above its value without selection, especially when the number of observations is less than the number of predictor variables. The extent of this increase was investigated by a Monte Carlo simulation. Tables are given with average values and percentage points ofR2for the null case of independence between the response variable and the predictor variables. Approximation formulas are provided to supplement the coverage in the tables.

 

点击下载:  PDF (452KB)



返 回