Variable selection in multivariate linear regression with random predictors

Alban Mbina Mbina; Guy Martial Nkiet; Assi N'guessan

doi:10.37920/sasj.2023.57.1.3

Alban Mbina Mbina Département de Mathématiques et Informatique, Université des Sciences et Techniques de Masuku, Franceville, Gabon
Guy Martial Nkiet Département de Mathématiques et Informatique, Université des Sciences et Techniques de Masuku, Franceville, Gabon
Assi N'guessan Laboratoire Paul Painlevé UMR CNRS 8524, Université de Lille, 59655, Villeneuve d’Ascq, France

DOI: https://doi.org/10.37920/sasj.2023.57.1.3

Keywords: Multivariate linear regression, Selection criterion, Variable selection

Abstract

We propose a method for variable selection in multivariate regression with random predictors. This method is based on a criterion that permits to reduce the variable selection problem to a problem of estimating a suitable set. Then, an estimator for this set is proposed and the resulting method for selecting variables is shown to be consistent. A simulation study that permits to study several properties of the proposed approach and to compare it with existing methods is given.