Chain pooling to minimize prediction errors in subset regression

The existing theory of subset regression is examined, taking into account optimality criteria, small experiments, nonlinear models, colinearities, and special techniques. Approaches based on chain pooling coupled with principal components regression are discussed, giving attention to a comparison of half-normal plotting with chain pooling, a procedure based on prior ordering, deletion under the F-test, the largest of a set of chi-square variates, and principal components regression and model deletion. The choice of a true (population) model for simulations is considered along with the evaluation of the decision procedure and suitable computer programs.