Stochastic Stepwise Ensembles for Variable Selection

Statistics – Methodology

Scientific paper

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Scientific paper

In this article, we advocate the ensemble approach for variable selection. We
point out that the stochastic mechanism used to generate the variable-selection
ensemble (VSE) must be picked with care. We construct a VSE using a stochastic
stepwise algorithm, and compare its performance with numerous state-of-the-art
algorithms.

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