Download Backward elimination and stepwise regression

Backward elimination and stepwise regression
(a) Backward elimination:
Assume the model with all possible covariates is
Y   0  1 X 1     r 1 X r 1   .
Backward elimination procedure:
Step 1:
At the beginning, the original model is set to be
Y   0  1 X 1     r 1 X r 1   .
Then, the following r-1 tests are carried out, H 0 j :  j  0, j  1,2,, r  1.
The lowest partial F-test value Fl corresponding to H 0l :  l  0 or t-test
value t l is compared with the preselected significance values F0 and
t 0 . One of two possible steps (step2a and step 2b) can be taken.
Step 2a:
If Fl  F0 or t l  t 0 , then X l can be deleted and the new original model
is
Y   0  1 X 1     l 1 X l 1   l 1 X l 1     r 1 X r 1   .
Go back to step 1.
Step 2b:
If Fl  F0 or t l  t 0 , the original model is the model we should choose.
1
Example (continue):
Suppose the preselected significance level is   0.1. Thus, F0  F1,8, 0.9  3.14.
Step 1:
The original model is
Y   0  1 X 1   2 X 2   3 X 3   4 X 4   .
F3  0.018 corresponding to H 03 :  3  0 is the smallest partial F value.
Step 2a:
Fl  0.018  F0  3.14 .
Thus, X 3 can be deleted. Go back to step 1.
Step 1:
The new original model is
Y   0  1 X 1   2 X 2   4 X 4   .
F4  1.86 corresponding to H 04 :  4  0 is the smallest partial F value.
Step 2a:
F4  1.86  F0  3.14 .
Thus, X 4 can be deleted. Go back to step 1.
Step 1:
The new original model is
Y   0  1 X 1   2 X 2   .
2
F1  144 corresponding to H 01 : 1  0 is the smallest partial F value.
Step 2b:
F1  144  F0  3.14 .
Thus,
Y   0  1 X 1   2 X 2   ,
is the selected model.
(b) Stepwise regression:
Stepwise regression procedure employs some statistical quantity, partial
correlation, to add new covariate. We introduce partial correlation first.
Partial correlation:
Assume the model is
Y   0  1 X 1     r 1 X r 1   .
The partial correlation of X j and Y , denoted by
rYX j ( X1 X 2X j1 X j1X r1 ) ,
can be obtained as follows:
1. Fit the model
Y   0  1 X 1     j 1 X j 1   j 1 X j 1     r 1 X r 1  
obtain the residuals
e1Y , e 2Y ,  , e nY
Also, fit the model
3
.
X j   0  1 X 1     j 1 X j 1   j 1 X j 1     r 1 X r 1  
obtain the residuals
X
X
X
e1 j , e2 j ,, en
j
.
2.
 e
n
rYX j  X 1 X 2  X j 1 X j 1 X p1 
Y
i
i 1
 e
n
Y
i
i 1

 e Y ei
e
e
Xj
  e
n
Y 2
i 1
Xj
i
Xj
e


Xj 2
,
where
n
eY 
e
n
Y
i
i 1
n
and
e
Xj

e
Xj
i
i 1
n
.
Stepwise regression procedure:
The original model is Y   0   . There are r-1 covariates, X 1 , X 2 ,, X r 1 .
Step 1:
Select the variable most correlated Y, say X i1 , based on the correlation
coefficient. Fit the model
Y   0   i1 X i1  
and check if X i1 is significant. If not, then
Y  0  
,
is the best model. Otherwise, the new original model is
Y   0   i1 X i1  
and go to step 2.
4
Step 2:
Examine the partial correlation
rYX j  X i1 , j  i1 . Find the covariate
X i2 with largest value of partial correlation
rYX j  X i1 .
Then, fit
Y   0   i1 X i1   i2 X i2  
and obtain partial F-value,
Fi1 corresponding to H 0 :  i1  0 and
Fi2 corresponding to H 0 :  i2  0 . Go to step 3.
Step 3:
Fi1 and Fi2 ) is compared with
The smallest partial F-value
Fl
(one of
the preselected significance
F0
value. There are two possibilities:
(a)
If
Fl  F0 , then delete the covariate corresponding to Fl . Go back to
step 2. Note that if
Fl  Fi2 , then examine the partial correlation
rYX j  X i1 , j  i1  i2 .
(b)
If
Fl  F0 , then
Y   0   i1 X i1   i2 X i2   ,
is the new original model. Then, go back to step 2, but now examine the
partial correlation
rYX j ( X i1 , X i 2 ) , j  i1  i2 .
The procedure will automatically stop when no variable in the new
original model can be removed and all the next best candidate can not be
retained in the new original model. Then, the new original model is our
selected model.
5