High-dimensional variable selection
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Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)
Abstract: This paper explores the following question: what kind of statistical guarantees can be given when doing variable selection in high-dimensional models? In particular, we look at the error rates and power of some multi-stage regression methods. In the first stage we fit a set of candidate models. In the second stage we select one model by cross-validation. In the third stage we use hypothesis testing to eliminate some variables. We refer to the first two stages as "screening" and the last stage as "cleaning." We consider three screening methods: the lasso, marginal regression, and forward stepwise regression. Our method gives consistent variable selection under certain conditions.
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Cited in
(only showing first 100 items - show all)- An ensemble learning method for variable selection: application to high-dimensional data and missing values
- Comparing dependent undirected Gaussian networks
- A scalable nonparametric specification testing for massive data
- Debiased Inference on Treatment Effect in a High-Dimensional Model
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