The Influence of Variable Selection: A Bayesian Diagnostic Perspective
从贝叶斯视角分析变量选择的影响，发现其影响惊人地大，并推荐一种新统计量供变量选择时常规检查。
Abstract Variable selection is ubiquitous in statistical practice. Forward selection, backwards elimination, or a combination thereof are among the most popular techniques. Statistical texts teach direct interpretation of coefficients after variable selection. For scientific purposes, the desired interpretation is unconditional on the variable selection. In this article an influence analysis of variable selection is performed from a Bayesian viewpoint. Variable selection is shown to be surprisingly influential. A new statistic is recommended for routine examination during variable selection.