Point Estimates and Confidence Intervals for Variable Importance in Multiple Linear Regression  

Oleh:

Thomas, D. Roland ; PengCheng, Zhu ; Decady, Yves J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: Journal Of Educational And Behavioral Statistics vol. 32 no. 1 (Mar. 2007), page 61-91.
Topik: relative importance; normalized Pratt measures; asymptotic variances; Bonferroni intervals; simultaneous confidence intervals
Fulltext: 61.pdf (457.53KB)

Isi artikel

The topic of variable importance in linear regression is reviewed, and a measure first justified theoretically by Pratt (1987) is examined in detail. Asymptotic variance estimates are used to construct individual and simultaneous confidence intervals for these importance measures. A simulation study of their coverage properties is reported, and an example is provided.

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