Extensions of stability selection using subsamples of observations and covariates
From MaRDI portal
Abstract: We introduce extensions of stability selection, a method to stabilise variable selection methods introduced by Meinshausen and B"uhlmann (J R Stat Soc 72:417-473, 2010). We propose to apply a base selection method repeatedly to random observation subsamples and covariate subsets under scrutiny, and to select covariates based on their selection frequency. We analyse the effects and benefits of these extensions. Our analysis generalizes the theoretical results of Meinshausen and B"uhlmann (J R Stat Soc 72:417-473, 2010) from the case of half-samples to subsamples of arbitrary size. We study, in a theoretical manner, the effect of taking random covariate subsets using a simplified score model. Finally we validate these extensions on numerical experiments on both synthetic and real datasets, and compare the obtained results in detail to the original stability selection method.
Recommendations
- Stability selection. With discussion and authors' reply
- Variable selection in high dimensional data analysis with applications
- Stability selection for Lasso, ridge and elastic net implemented with AFT models
- Robust stability best subset selection for autocorrelated data based on robust location and dispersion estimator
- scientific article; zbMATH DE number 6982930
Cites work
- 10.1162/153244303322753643
- A survey of cross-validation procedures for model selection
- Analyzing bagging
- Bootstrap methods: another look at the jackknife
- Correlated variables in regression: clustering and sparse estimation
- Elements of Information Theory
- Extremes and related properties of random sequences and processes
- scientific article; zbMATH DE number 6378127 (Why is no real title available?)
- scientific article; zbMATH DE number 5957250 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Improved boosting algorithms using confidence-rated predictions
- Lasso-type recovery of sparse representations for high-dimensional data
- Random forests
- Random lasso
- Stability selection. With discussion and authors' reply
- Stable feature selection for biomarker discovery
- Subsampling
- Sup-norm convergence rate and sign concentration property of Lasso and Dantzig estimators
- Variable Selection with Error Control: Another Look at Stability Selection
Cited in
(12)- Stabilizing variable selection and regression
- Robust stability best subset selection for autocorrelated data based on robust location and dispersion estimator
- Stabilization of Subba Rao-Liporace models.
- High-dimensional variable selection via low-dimensional adaptive learning
- Variable selection in high dimensional data analysis with applications
- scientific article; zbMATH DE number 1129544 (Why is no real title available?)
- Stability selection. With discussion and authors' reply
- Pruning variable selection ensembles
- Semi-analytic approximate stability selection for correlated data in generalized linear models
- Subsampling based variable selection for generalized linear models
- Bayesian stability selection and inference on selection probabilities
- Heritability estimation in high dimensional sparse linear mixed models
This page was built for publication: Extensions of stability selection using subsamples of observations and covariates
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q340859)
