Department of Statistics
Threshold changes to conform to attributes of data
Easier to add features as more are found.
Threshold for first predictor
Compare conservative t-ratio to Bonferroni.
Bonferroni is about Sqrt(2 log p)
If something significant is found, continue.
Threshold for second predictor
Compare t-ratio to reduced threshold
New threshold is about Sqrt(2 log p/2)