how does aic work for stepwiseglm?

Question

Hans van der Horn 2023-8-6

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/2005142-how-does-aic-work-for-stepwiseglm

编辑： the cyclist 2023-8-6

Dear colleagues,

I'd like to ask a question about the stepwiseglm function. I was wondering how the aic criterion works exactly for entering and removing terms. I understand how the process works if one considers a certain p-value threshold for entering (a term matches the treshold for entering) and removing (a variable in the existing model up to that point does not meet the threshold for staying in the model) terms. However, when it concerns the aic for the entire model, I do not readily understand how indivivual terms are entered and removed. I would appreciate your help.

Thanks!

Best

Hans

0 个评论
显示 -2更早的评论隐藏 -2更早的评论

请先登录，再进行评论。

请先登录，再回答此问题。

Answer 1

the cyclist 2023-8-6

0
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/2005142-how-does-aic-work-for-stepwiseglm#answer_1283882

Regardless of the criterion used (e.g. the default "Deviance" criterion, or the "AIC" criterion), the stepwise method brings in one variable at a time, but then makes a fit assessment of the whole model (not just that term):

For deviance, the metric for the criterion is the p-value of the F test* (which is a whole-model test).
For AIC, the metric is the AIC. (Again, a whole-model test.)

For details, see the Criterion section of the documentation for stepwiseglm. Also, look at the PEnter and PRemove parameters for the precise numeric values of the thresholds.

*Or chi-squared test

3 个评论
显示 1更早的评论隐藏 1更早的评论

the cyclist 2023-8-6

编辑：the cyclist 2023-8-6

I think you have the idea basically correct, but the default threshold for PRemove is not 0, but 0.01. (Quoting the documentation: "If the change in the AIC of the model is greater than PRemove, remove the term from the model.")

I don't think I can describe the process better than the Algorithms section of the documentation.

Hans van der Horn 2023-8-6