[R] covariate selection?
Kjetil Brinchmann Halvorsen
kjetil at acelerate.com
Wed Oct 13 02:16:25 CEST 2004
Ian Fiske wrote:
> I am hoping someone can help me with the following multivariate
> issue: I have a model consisting of about 50 covariates. I would
> like to reduce this to about 5 covariate for the reduced model by
> combining cofactors that are strongly correlated. Is there a package
> or function that would help me with this in R? I appreciate any
> R-help at stat.math.ethz.ch mailing list
> PLEASE do read the posting guide!
have a look at package leaps, and also consider ridge regression.
Peace is the most effective weapon of mass construction.
-- Mahdi Elmandjra
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