nag_regsn_mult_linear_delete_var (g02dfc) deletes an independent variable from a general linear regression model.

When selecting a linear regression model it is sometimes useful to drop independent variables from the model and to examine the resulting sub-model. nag_regsn_mult_linear_delete_var (g02dfc) updates the  decomposition used in the computation of the linear regression model. The  decomposition may come from g02dac (nag_regsn_mult_linear), g02dcc (nag_regsn_mult_linear_addrem_obs), g02dec (nag_regsn_mult_linear_add_var) or a previous call to nag_regsn_mult_linear_delete_var (g02dfc).

For the general linear regression model with  independent variables fitted, g02dac (nag_regsn_mult_linear) or g02dec (nag_regsn_mult_linear_add_var) computes a  decomposition of the (weighted) independent variables and forms an upper triangular matrix  and a vector . To remove an independent variable  and  have to be updated. The column of  corresponding to the variable to be dropped is removed and the matrix is then restored to upper triangular form by applying a series of Givens rotations. The rotations are then applied to . Note that only the first  elements of  are affected.

The method used means that while the updated values of  and  are computed an updated value of  from the  decomposition is not available so a call to g02dec (nag_regsn_mult_linear_add_var) cannot be made after a call to nag_regsn_mult_linear_delete_var (g02dfc).

g02ddc (nag_regsn_mult_linear_upd_model) can be used to calculate the argument estimates, , from the information provided by nag_regsn_mult_linear_delete_var (g02dfc).

"NE_2_INT_ARG_GT"

On entry,  while . These arguments must satisfy .

"NE_ALLOC_FAIL"

 Dynamic memory allocation failed.

"NE_DIAG_ELEM_ZERO"

On entry, a diagonal element, , of  is zero.

"NE_INT_ARG_LT"

On entry, ip must not be less than 1: .

"NE_REAL_ARG_LT"

On entry, rss must not be less than 0.0: .

There will inevitably be some loss in accuracy in fitting a model by dropping terms from a more complex model rather than fitting it afresh using g02dac (nag_regsn_mult_linear).

None.