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Wharton

Department of Statistics

23

Identifying Predictive Features

Classical problem of “variable selection”

Thresholding methods (compare t-ratio to threshold)

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Akaike information criterion (AIC)

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Bayes information criterion (BIC)

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Hard thresholding and Bonferroni

Arguments for adaptive thresholds

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Empirical Bayes

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Information theory

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Step-up/step-down tests

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