Stixbox Function

lsselect - Select a predictor subset for regression

Calling Sequence

[Q, I, B, BB] = lsselect(y,x,crit,how,pmax,level)

Parameters

Description

Selects a good subset of regressors in a multiple linear regression model.

The last column of the prediction matrix x must be an intercept column, ie all elements are ones. This column is never excluded in the search for a good model. If it is not present it is added.

This function is not highly optimized for speed but rather for flexibility. It would be faster if 'all subsets' were in a separate routine and 'forward' and 'backward' were in another routine, especially for CMV.

See Also