Research Article

Variable Selection and Joint Estimation of Mean and Covariance Models with an Application to eQTL Data

Algorithm 1

Variable selection in the mean vector estimation.
for in do
Set the minimal linear regression model: .
Compute and GCV.
while GCV decreases do
Among predictors not in the current model, add a predictor having the
maximum Rao statistic.
Update using (5) and compute GCV.
end while
while GCV decreases do
Among predictors in the current model, delete a predictor having the
minimum Wald statistic.
Update using (5) and compute GCV.
end while
The optimal model is chosen by the minimum GCV.
end for