Factor screening by sequential bifurcation

Abstract

The purpose of screening is the reduction of a large set of explanatory variables or factors to the set of important variables, assuming that there are only a few really important explanatory variables. The technique for screening that we propose is a modification of Jacoby and Harrison's (1962) sequential bifurcation, and resembles binary search. It assumes that the direction of the effect of potential variables is already known.This paper starts with deterministic linear response surfaces, for ease of description and easy comparison with alternative techniques. A large scale application illustrates the method. Next the technique is extended with normally distributed random errors with a known common standard deviation. Simulation results include the number of (correctly) found important variables, the number of (incorrectly) found unimportant variables, and the number of observations needed. Further extensions and limitations are briefly indicated.