fasb

The number of covariates from which to choose. Equals number of covariates minus length of ind if q=-1.

The indices of a subset of covariates for which all subsets are to be considered

If TRUE calls fselect.R to removes all subsets of chosen sets

If TRUE intercept already included

xinr

It sel =TRUE it calls fselect.R and removes all such subsets which are a subset of some other selected subset. The remaining ones are ordered according to the sum of squared residuals. Subsets can be decoded with decode.R.

Given the standard linear model the traditional way of deciding whether to include the jth covariate is to apply the F-test to decide whether the corresponding beta coefficient is zero. The Gaussian covariate method is completely different. The question as to whether the beta coefficient is or is not zero is replaced by the question as to whether the covariate is better or worse than i.i.d. Gaussian noise. The P-value for the covariate is the probability that Gaussian noise is better. Surprisingly this can be given exactly and it is the same a the P-value for the classical model based on the F-distribution. The Gaussian covariate P-value is model free, it is the same for any data set. Using the idea it is possible to do covariate selection for a small number of covariates 25 by considering all subsets. Post selection inference causes no problems as the P-values hold whatever the data. The idea extends to stepwise regression again with exact probabilities. In the simplest version the only parameter is a specified cut-off P-value which can be interpreted as the probability of a false positive being included in the final selection. For more information see the web site below and the accompanying papers: L. Davies and L. Duembgen, "Covariate Selection Based on a Assumption -free Approach to Linear Regression with Exact Probabilities", 2020, <arXiv:1906.01990>. L. Davies, "Lasso, Knockoff and Gaussian covariates: A comparison", 2018, <arXiv:1807.09633>.

fasb: Calculates all subsets where each included covariate is significant.

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