Variable selection -- a review and recommendations for the practicing statistician

DOI10.1002/BIMJ.201700067zbMATH Open1429.62532OpenAlexW2782176193WikidataQ47225500 ScholiaQ47225500MaRDI QIDQ4563248FDOQ4563248

Authors: Georg Heinze, Christine Wallisch, Daniela Dunkler 

Publication date: 31 May 2018

Published in: Biometrical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/bimj.201700067

Recommendations

• Methods of variable selection in regression modeling
• Model-Free Variable Selection
• Visual research on the trustability of classical variable selection methods in Cox regression
• Variable selection for regression models
• Toward an objective and reproducible model choice via variable selection deviation

zbMATH Keywords

penalized likelihoodresamplingstatistical modelconfidence interval estimationcensored survival datastepwise selectionchange-in-estimate criterion

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10)

Cites Work

• Estimating the dimension of a model
• The Adaptive Lasso and Its Oracle Properties
• Title not available (Why is that?)
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Stability Selection
• Title not available (Why is that?)
• Title not available (Why is that?)
• Random forests
• Title not available (Why is that?)
• Regression modeling strategies. With applications to linear models, logistic regression, and survival analysis
• Title not available (Why is that?)
• Statistical modeling: The two cultures. (With comments and a rejoinder).
• Multivariable Model‐Building
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Statistical learning and selective inference
• Model Selection: An Integral Part of Inference
• Boosting With theL₂Loss
• Model Selection and Multimodel Inference
• To explain or to predict?
• A new criterion for confounder selection
• Title not available (Why is that?)
• On model selection and model misspecification in causal inference
• Clinical prediction models. A practical approach to development, validation, and updating.
• Title not available (Why is that?)
• Applied logistic regression
• On stability issues in deriving multivariable regression models
• Some Surprising Results about Covariate Adjustment in Logistic Regression Models
• Shrinkage and Penalized Likelihood as Methods to Improve Predictive Accuracy
• Regression with linear predictors. With 171 illustrations by Therese Graversen.
• Covariate selection for the nonparametric estimation of an average treatment effect
• On properties of predictors derived with a two-step bootstrap model averaging approach -- a simulation study in the linear regression model
• The Use of Resampling Methods to Simplify Regression Models in Medical Statistics
• The practical utility of incorporating model selection uncertainty into prognostic models for survival data
• Subsampling versus bootstrapping in resampling-based model selection for multivariable regression

Cited In (36)

• Can’t Ridge Regression Perform Variable Selection?
• Asymptotics of AIC, BIC and \(C_p\) model selection rules in high-dimensional regression
• Estimation of the adjusted cause-specific cumulative probability using flexible regression models for the cause-specific hazards
• Bayesian approaches to variable selection: a comparative study from practical perspectives
• An automated exact solution framework towards solving the logistic regression best subset selection problem
• Regression models for order‐of‐addition experiments
• Why significant variables aren't automatically good predictors
• On stability issues in deriving multivariable regression models
• Developing more generalizable prediction models from pooled studies and large clustered data sets
• Deep learning and differential equations for modeling changes in individual-level latent dynamics between observation periods
• Stability of clinical prediction models developed using statistical or machine learning methods
• Selection of variables for multivariable models: opportunities and limitations in quantifying model stability by resampling
• Bayes factor asymptotics for variable selection in the Gaussian process framework
• On the impact of model selection on predictor identification and parameter inference
• Identification of representative trees in random forests based on a new tree-based distance measure
• Comparing methods for estimating patient-specific treatment effects in individual patient data meta-analysis
• Extended Bayesian endemic–epidemic models to incorporate mobility data into COVID‐19 forecasting
• Doug Altman: Driving critical appraisal and improvements in the quality of methodological and medical research
• A penalization approach to random-effects meta-analysis
• A comparison of full model specification and backward elimination of potential confounders when estimating marginal and conditional causal effects on binary outcomes from observational data
• A neutral comparison of algorithms to minimize \(L_0\) penalties for high-dimensional variable selection
• Developing prediction models to estimate the risk of two survival outcomes both occurring: a comparison of techniques
• STRATOS guidance document on measurement error and misclassification of variables in observational epidemiology. II: More complex methods of adjustment and advanced topics
• Visual research on the trustability of classical variable selection methods in Cox regression
• 10.1162/153244303322753715
• Variable selection in double/debiased machine learning for causal inference: an outcome-adaptive approach
• Toward an objective and reproducible model choice via variable selection deviation
• Variable selection by searching for good subsets
• Variable Selection With Second-Generation P-Values
• Detecting and diagnosing prior and likelihood sensitivity with power-scaling
• A simulation based method for assessing the statistical significance of logistic regression models after common variable selection procedures
• The large-sample performance of backwards variable elimination
• Model choice for regression models with a categorical response
• Is there a role for statistics in artificial intelligence?
• Using reference models in variable selection
• Fast and approximate exhaustive variable selection for generalised linear models with APES

Uses Software

• rms
• SAS
• glmnet
• aplore3
• ElemStatLearn
• SAS/STAT
• shrink
• abe

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