Efficient test-based variable selection for high-dimensional linear models
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Publication:1749977
DOI10.1016/J.JMVA.2018.01.003zbMATH Open1499.62223DBLPjournals/ma/GongZL18arXiv1706.03462OpenAlexW2964254916WikidataQ90909731 ScholiaQ90909731MaRDI QIDQ1749977FDOQ1749977
Authors: Siliang Gong, Kai Zhang, Yufeng Liu 
Publication date: 17 May 2018
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Abstract: Variable selection plays a fundamental role in high-dimensional data analysis. Various methods have been developed for variable selection in recent years. Well-known examples are forward stepwise regression (FSR) and least angle regression (LARS), among others. These methods typically add variables into the model one by one. For such selection procedures, it is crucial to find a stopping criterion that controls model complexity. One of the most commonly used techniques to this end is cross-validation (CV) which, in spite of its popularity, has two major drawbacks: expensive computational cost and lack of statistical interpretation. To overcome these drawbacks, we introduce a flexible and efficient test-based variable selection approach that can be incorporated into any sequential selection procedure. The test, which is on the overall signal in the remaining inactive variables, is based on the maximal absolute partial correlation between the inactive variables and the response given active variables. We develop the asymptotic null distribution of the proposed test statistic as the dimension tends to infinity uniformly in the sample size. We also show that the test is consistent. With this test, at each step of the selection, a new variable is included if and only if the -value is below some pre-defined level. Numerical studies show that the proposed method delivers very competitive performance in terms of variable selection accuracy and computational complexity compared to CV.
Full work available at URL: https://arxiv.org/abs/1706.03462
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Cited In (8)
- A stepwise regression algorithm for high-dimensional variable selection
- Consistent high-dimensional Bayesian variable selection via penalized credible regions
- A sequential test for variable selection in high dimensional complex data
- Consistent variable selection in high dimensional regression via multiple testing
- Boosting variable selection algorithm for linear regression models
- Sequential model averaging for high dimensional linear regression models
- High-dimensional variable selection via low-dimensional adaptive learning
- A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models
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