Lesson 4: Variable Selection

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Variable Selection

Key Learning Goals for this Lesson:
  • Practice best subset selection and stepwise selection for reducing the number of predictor variables in regression focusing on prediction
  • Assess predictive ability of the model developed in training data in test data
  • Indirectly estimate test error by adjusting training error to account for bias due to overfitting (Cp, AIC, BIC, adjusted R2);
  • Directly estimate test error using validation set approach or cross-validation approach.

Textbook reading: Consult Course Schedule