UNBIASED VARIABLE SELECTION PROCEDURE IN REGRESSION MODELS

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  • Nagata Yasushi
    Department of Mathematics, Faculty of Engineering, Kumamoto University

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  • Unbiased Variable Selection Procedure i

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Abstract

The unbiasedness of the variable selection procedure in linear regression models is considered. Sawa and Takeuchi (1977) treated two model case, which is extended to three model case in this paper. Two kinds of definitions for the unbiased variable selection procedures are given: for the weakly unbiased one and for the strongly unbiased one. The weakly unbiased procedure based on Mallows' Cp statistic is obtained, and is compared with the original Cp statistic.

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