FAST STEPWISE PROCEDURES OF SELECTION OF VARIABLES BY USING AIC AND BIC CRITERIA BIC CRITERIA

Fast stepwise procedures of selection of variables by using AIC and BIC criteria are proposed inthis 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 theseadvantages is that FSP are definitely convergent with a faster rate in finite computing steps. Anotheradvantage is that ESP can be used for large number of candidate variables. In this paper we alsoshow some asymptotic properties of FSP, and some simulation results.