why is LinearModel.stepwise() so much slower than stepwisefit() ?
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why is LinearModel.stepwise() so much slower than stepwisefit(), the algorithm description of the two functions is the same.
Edit: to avoid confusion I do not mean the function stepwise(), I mean the method of the class LinearModel, "LinearModel.stepwise()".
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Tom Lane
il 14 Gen 2013
The stepwise method in the LinearModel class is written to make its selection using any of a variety of measures. Also, it considers not just single-column changes, but also changes that may involve multiple columns because the term being changed is a categorical variable with multiple levels. The stepwisefit function, on the other hand, is optimized for single-column terms using a specific measure.
I've noticed this performance issue also. I'm going to enter a request in the MathWorks request database asking that some effort be put into speeding up the LinearModel version.
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Greg Heath
il 13 Gen 2013
Stepwise involves human interaction.
Thank you for formally accepting my answer.
Greg
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