ABSTRACT
In the discussion of multiple regression in Chapter 8, we saw that as the number of dimensions X becomes large, we have to ensure that additional parameters in our model are not overtting the data. e classical statistical solution to this problem is to add covariates (or features, or dimensions of X) sequentially and test whether the new parameter estimated is statistically signicant. If so, then test all the previous covariates and see if any of their parameters are no longer signicant with the new covariate included. Needless to say, this becomes tedious if there are more than a handful of features to be considered.
