Variable selection with error control: Another look at Stability Selection

Details Variable selection with error control: Another look at Stability Selection Variable selection with error control: Another look at Stability Selection

2011-05-27

arxiv.org/abs/1105.5578v2

Mathematics

Statistics Theory

25 pages, 9 figures

Scientific paper

Stability Selection was recently introduced by Meinshausen and Buhlmann (2010) as a very general technique designed to improve the performance of a variable selection algorithm. It is based on aggregating the results of applying a selection procedure to subsamples of the data. We introduce a variant, called Complementary Pairs Stability Selection (CPSS), and derive bounds both on the expected number of variables included by CPSS that have low selection probability under the original procedure, and on the expected number of high selection probability variables that are excluded. These results require no (e.g. exchangeability) assumptions on the underlying model or on the quality of the original selection procedure. Under reasonable shape restrictions, the bounds can be further tightened, yielding improved error control, and therefore increasing the applicability of the methodology.

Affiliated with

Also associated with

No associations

Rating

Variable selection with error control: Another look at Stability Selection does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Variable selection with error control: Another look at Stability Selection, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Variable selection with error control: Another look at Stability Selection will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-665706