Risk Bounds for Embedded Variable Selection in Classification Trees

DOI10.1109/TIT.2014.2298874MaRDI QIDQ2986491zbMATH OpenOpenAlexFDO

Authors Servane Gey, Tristan Mary-Huard

Publication date 16 May 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1108.0757

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Information theory (general) (94A15)

Abstract: The problems of model and variable selections for classification trees are jointly considered. A penalized criterion is proposed which explicitly takes into account the number of variables, and a risk bound inequality is provided for the tree classifier minimizing this criterion. This penalized criterion is compared to the one used during the pruning step of the CART algorithm. It is shown that the two criteria are similar under some specific margin assumptions. In practice, the tuning parameter of the CART penalty has to be calibrated by hold-out. Simulation studies are performed which confirm that the hold-out procedure mimics the form of the proposed penalized criterion.

Cited in

(5)

• Using parametric classification trees for model selection with applications to financial risk management
• Risk bounds for CART classifiers under a margin condition
• Vapnik–Chervonenkis dimension of axis-parallel cuts
• Risk Bounds for CART Regression Trees
• Discussion of: ``Parallel construction of decision trees with consistently non-increasing expected number of tests

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