High-dimensional variable selection
From MaRDI portal
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.
Recommendations
- Variable selection in high dimensional data analysis with applications
- Variable selection for high dimensional multivariate outcomes
- Variable selection in high-dimensional partially linear models
- A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
- Selection of variables and dimension reduction in high-dimensional non-parametric regression
- Variable selection methods in high-dimensional regression -- a simulation study
- Simultaneous dimension reduction and variable selection in modeling high dimensional data
- Variable selection and estimation in high-dimensional partially linear models
- High Dimensional Variable Selection via Tilting
- Feature selection for high-dimensional data
Cites work
- scientific article; zbMATH DE number 5957408 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Approximation and learning by greedy algorithms
- Boosting for high-dimensional linear models
- Causation, prediction, and search. With additional material by David Heckerman, Christopher Meek, Gregory F. Cooper and Thomas Richardson.
- For most large underdetermined systems of linear equations the minimal 𝓁1‐norm solution is also the sparsest solution
- Greed is Good: Algorithmic Results for Sparse Approximation
- High-dimensional graphs and variable selection with the Lasso
- Just relax: convex programming methods for identifying sparse signals in noise
- Lasso-type recovery of sparse representations for high-dimensional data
- Least angle regression. (With discussion)
- Persistene in high-dimensional linear predictor-selection and the virtue of overparametrization
- Relaxed Lasso
- The Adaptive Lasso and Its Oracle Properties
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- The sparsity and bias of the LASSO selection in high-dimensional linear regression
- Uniform consistency in causal inference
Cited in
(only showing first 100 items - show all)- Variable selection with Hamming loss
- Compositional knockoff filter for high‐dimensional regression analysis of microbiome data
- Exact model comparisons in the plausibility framework
- Thresholding tests based on affine Lasso to achieve non-asymptotic nominal level and high power under sparse and dense alternatives in high dimension
- An ensemble learning method for variable selection: application to high-dimensional data and missing values
- In defense of the indefensible: a very naïve approach to high-dimensional inference
- Tight conditions for consistency of variable selection in the context of high dimensionality
- Robust stability best subset selection for autocorrelated data based on robust location and dispersion estimator
- Principal components adjusted variable screening
- Multicarving for high-dimensional post-selection inference
- Hypothesis testing in large-scale functional linear regression
- scientific article; zbMATH DE number 736274 (Why is no real title available?)
- A global homogeneity test for high-dimensional linear regression
- Asymptotics for high dimensional regression \(M\)-estimates: fixed design results
- The Holdout Randomization Test for Feature Selection in Black Box Models
- A new data adaptive elastic net predictive model using hybridized smoothed covariance estimators with information complexity
- Threshold Selection in Feature Screening for Error Rate Control
- Simultaneous dimension reduction and variable selection in modeling high dimensional data
- Iterative algorithm for discrete structure recovery
- Debiasing the Lasso: optimal sample size for Gaussian designs
- Variable selection using stepdown procedures in high-dimensional linear models
- Mining events with declassified diplomatic documents
- Predictor ranking and false discovery proportion control in high-dimensional regression
- Spectral analysis of high-dimensional time series
- Network differential connectivity analysis
- Spatially relaxed inference on high-dimensional linear models
- Feature selection for high-dimensional data
- Feature screening for network autoregression model
- Post-model-selection inference in linear regression models: an integrated review
- Cross-validation with confidence
- Debiased Inference on Treatment Effect in a High-Dimensional Model
- High-dimensional linear model selection motivated by multiple testing
- Controlling the false-discovery rate by procedures adapted to the length bias of RNA-seq
- Efficient test-based variable selection for high-dimensional linear models
- Causal interaction in factorial experiments: application to conjoint analysis
- Which bridge estimator is the best for variable selection?
- A unified theory of confidence regions and testing for high-dimensional estimating equations
- Integrative analysis and variable selection with multiple high-dimensional data sets
- Kernel meets sieve: post-regularization confidence bands for sparse additive model
- Feature selection in finite mixture of sparse normal linear models in high-dimensional feature space
- Empirical likelihood test for high dimensional linear models
- Debiasing the debiased Lasso with bootstrap
- Inference for \(L_2\)-boosting
- Convex and non-convex regularization methods for spatial point processes intensity estimation
- Self-semi-supervised clustering for large scale data with massive null group
- Sure independence screening in the presence of missing data
- Variable screening in predicting clinical outcome with high-dimensional microarrays
- An \(L_1\)-regularized logistic model for detecting short-term neuronal interactions
- Projection-based Inference for High-dimensional Linear Models
- Fundamental limits of exact support recovery in high dimensions
- Detection of gene-gene interactions using multistage sparse and low-rank regression
- Consistent parameter estimation for Lasso and approximate message passing
- Inference under Fine-Gray competing risks model with high-dimensional covariates
- Factor-adjusted multiple testing of correlations
- A Critical Review of LASSO and Its Derivatives for Variable Selection Under Dependence Among Covariates
- Hierarchical inference for genome-wide association studies: a view on methodology with software
- Bayesian high-dimensional screening via MCMC
- SLOPE-adaptive variable selection via convex optimization
- On asymptotically optimal confidence regions and tests for high-dimensional models
- UPS delivers optimal phase diagram in high-dimensional variable selection
- Robust Variable and Interaction Selection for Logistic Regression and General Index Models
- Principled sure independence screening for Cox models with ultra-high-dimensional covariates
- High-dimensional inference in misspecified linear models
- Selecting massive variables using an iterated conditional modes/medians algorithm
- High-Dimensional Variable Selection for Survival Data
- Discussion: ``A significance test for the lasso
- Estimation and Inference of Heterogeneous Treatment Effects using Random Forests
- Honest variable selection in linear and logistic regression models via \(\ell _{1}\) and \(\ell _{1}+\ell _{2}\) penalization
- Statistical learning and selective inference
- Discussion: ``A significance test for the lasso
- High-dimensional simultaneous inference with the bootstrap
- Discussion: ``A significance test for the lasso
- Discussion: ``A significance test for the lasso
- Discussion: ``A significance test for the lasso
- Discussion: ``A significance test for the lasso
- Selective inference with a randomized response
- Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply
- Sharp support recovery from noisy random measurements by \(\ell_1\)-minimization
- A knockoff filter for high-dimensional selective inference
- Covariate assisted screening and estimation
- False Discovery Rate Control Under General Dependence By Symmetrized Data Aggregation
- A regularization-based adaptive test for high-dimensional GLMs
- Optimality of Graphlet Screening in High Dimensional Variable Selection
- Optimal two-step prediction in regression
- Classifier variability: accounting for training and testing
- Data-driven selection of the number of change-points via error rate control
- Derandomizing Knockoffs
- Two-stage procedures for high-dimensional data
- Testing covariates in high dimension linear regression with latent factors
- Two-directional simultaneous inference for high-dimensional models
- High-dimensional regression and variable selection using CAR scores
- High-dimensional inference: confidence intervals, \(p\)-values and R-software \texttt{hdi}
- LOL selection in high dimension
- Statistical significance in high-dimensional linear models
- Optimal screening and discovery of sparse signals with applications to multistage high throughput studies
- High-dimensional variable screening and bias in subsequent inference, with an empirical comparison
- Estimating and testing conditional sums of means in high dimensional multivariate binary data
- Analysis of testing-based forward model selection
- The benefit of group sparsity in group inference with de-biased scaled group Lasso
- A significance test for the lasso
This page was built for publication: High-dimensional variable selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q834336)
