Electronic Journal of Statistics

Admissible, consistent multiple testing with applications including variable selection

Chuanwen Chen, Arthur Cohen, and Harold B. Sackrowitz

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For multivariate normal models and some exponential family models a multiple testing stepwise method is offered that is both admissible and consistent. The method is readily adaptable to selecting variables in linear regression models where it is akin to the forward selection method plus a screening stage plus a sign compatibility stage.

Article information

Electron. J. Statist., Volume 3 (2009), 633-650.

First available in Project Euclid: 10 July 2009

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Digital Object Identifier

Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 62F03: Hypothesis testing
Secondary: 62C15: Admissibility 62J05: Linear regression

backward method exponential family forward method linear regression step-down procedures step-up procedures variable selection


Chen, Chuanwen; Cohen, Arthur; Sackrowitz, Harold B. Admissible, consistent multiple testing with applications including variable selection. Electron. J. Statist. 3 (2009), 633--650. doi:10.1214/09-EJS391. https://projecteuclid.org/euclid.ejs/1247231686

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