Statistics – Applications
Scientific paper
2009-05-18
Annals of Applied Statistics 2009, Vol. 3, No. 1, 179-198
Statistics
Applications
Published in at http://dx.doi.org/10.1214/08-AOAS194 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Ins
Scientific paper
10.1214/08-AOAS194
We propose the use of a new false discovery rate (FDR) controlling procedure as a model selection penalized method, and compare its performance to that of other penalized methods over a wide range of realistic settings: nonorthogonal design matrices, moderate and large pool of explanatory variables, and both sparse and nonsparse models, in the sense that they may include a small and large fraction of the potential variables (and even all). The comparison is done by a comprehensive simulation study, using a quantitative framework for performance comparisons in the form of empirical minimaxity relative to a "random oracle": the oracle model selection performance on data dependent forward selected family of potential models. We show that FDR based procedures have good performance, and in particular the newly proposed method, emerges as having empirical minimax performance. Interestingly, using FDR level of 0.05 is a global best.
Benjamini Yoav
Gavrilov Yulia
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