Fast stepwise procedures of selection of variables by using AIC and BIC criteria

Abstract

Fast stepwise procedures of selection of variables by using AIC and BIC criteria are proposed in this paper. We shall use a short name “FSP” for these new procedures. FSP are similar to the well-known stepwise regression procedures in computing steps. But FSP have two advantages. One of these advantages is that FSP are definitely convergent with a faster rate in finite computing steps. Another advantage is that FSP can be used for large number of candidate variables. In this paper we also show some asymptotic properties of FSP, and some simulation results.