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 |
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