[R] criterion for variable selection in LDA

Christoph Lehmann christoph.lehmann at gmx.ch
Mon Nov 10 10:04:28 CET 2003

Since a stepwise procedure for variable selection (as e.g. in SPSS) for
a LDA is not implemented in R and anyway I cannot be sure, that all the
required assumptions for e.g. a procedure using a statistic based on
wilks' lambda, hold (such as normality and variance homogeneity) I would
like to ask you, what you would recommend me:

shall I e.g. define a criterion such as the error-rate stemming from a
leaving-one-out cross-validation and then write my own procedure of
including/removing variables?

or what would be the golden standard for such a case (my "case" is that
I have 2 groups (n1=30, n2=15, number of potential variables: 37, no
equal variance in the two groups))

many thanks


Christoph Lehmann <christoph.lehmann at gmx.ch>

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