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Journal of the American Statistical Association Volume 95, 2000 - Issue 452
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General

The Variable Selection Problem

Edward I. George Department of MSIS, University of Texas, Austin, TX, 78712, USA
Pages 1304-1308 | Published online: 17 Feb 2012
 
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Abstract

The problem of variable selection is one of the most pervasive model selection problems in statistical applications. Often referred to as the problem of subset selection, it arises when one wants to model the relationship between a variable of interest and a subset of potential explanatory variables or predictors, but there is uncertainty about which subset to use. This vignette reviews some of the key developments that have led to the wide variety of approaches for this problem.

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