The problem of classifying a categorical response Y is considered in a nonparametric framework. The distribution of Y depends on a vector of predictors X, where the coordinates Xj of X may be continuous, discrete, or categorical. An algorithm is constructed to select the variables to be used for...

Suppose that X is a random vector with probability distribution P and suppose that denotes a proposed model that involves interesting parameters and relationship between variables. We consider statistical inference procedures for the case where constructed as follows: let [theta](P) denote the...