Selection
of Covariables
The selection
of covariables is probably the most difficult problem in predictive
modeling. Usually a large number of candidate predictors is
available, which may have been studied before in similar or
related diseases, or just have the interest of the investigator.
In a data set of infinite size, we might test all predictors
in univariable and multivariable analyses, and include the covariables
with the highest statistical significance. In practice, data
sets are often small relative to the number of candidate predictors.
Therefore, more cautious selection methods should be used.
QUESTION
7.2
Some covariables
may have strong correlations among each other. Choose which
solution is to be preferred: