Abstract
We consider the selection of the best subset of independent variables of a fixed size for possible inclusion in a regression model. The classical procedures (largest $\mathbb{R}^2$ to enter) are shown to be uniformly invariant Bayes in the sense of Paulson (1952) and Kudo (1956).
Citation
Ronald W. Butler. "Optimal Properties of One-Step Variable Selection in Regression." Ann. Statist. 11 (1) 219 - 224, March, 1983. https://doi.org/10.1214/aos/1176346072
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