Variable selection in high-dimensional linear models: partially faithful distributions and the PC-simple algorithm
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Publication:96604
DOI10.1093/BIOMET/ASQ008zbMATH Open1233.62135arXiv0906.3204OpenAlexW2169847599WikidataQ57707425 ScholiaQ57707425MaRDI QIDQ96604FDOQ96604
Peter Bühlmann, P. Buhlmann, Markus Kalisch, Marloes H. Maathuis, Markus Kalisch, Marloes H. Maathuis
Publication date: 30 April 2010
Published in: Biometrika (Search for Journal in Brave)
Abstract: We consider variable selection in high-dimensional linear models where the number of covariates greatly exceeds the sample size. We introduce the new concept of partial faithfulness and use it to infer associations between the covariates and the response. Under partial faithfulness, we develop a simplified version of the PC algorithm (Spirtes et al., 2000), the PC-simple algorithm, which is computationally feasible even with thousands of covariates and provides consistent variable selection under conditions on the random design matrix that are of a different nature than coherence conditions for penalty-based approaches like the Lasso. Simulations and application to real data show that our method is competitive compared to penalty-based approaches. We provide an efficient implementation of the algorithm in the R-package pcalg.
Full work available at URL: https://arxiv.org/abs/0906.3204
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Linear regression; mixed models (62J05) Applications of graph theory (05C90) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Directed graphs (digraphs), tournaments (05C20)
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- Variable selection for survival data with a class of adaptive elastic net techniques
- Estimation of conditional mean operator under the bandable covariance structure
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- High-dimensional variable selection via low-dimensional adaptive learning
- pcalg
- Bayesian high-dimensional screening via MCMC
- Sequential change point detection for high‐dimensional data using nonconvex penalized quantile regression
- Semi-Standard Partial Covariance Variable Selection When Irrepresentable Conditions Fail
- Using random subspace method for prediction and variable importance assessment in linear regression
- TPCselect
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- High-dimensional additive modeling
- Enmsp: an elastic-net multi-step screening procedure for high-dimensional regression
- Statistical significance in high-dimensional linear models
- A Model-Averaging Approach for High-Dimensional Regression
- A data-driven approach to conditional screening of high-dimensional variables
- Simultaneous variable selection and smoothing for high-dimensional function-on-scalar regression
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