Abstract
We present a new variable selection method based on model-based gradient boosting and randomly permuted variables. Model-based boosting is a tool to fit a statistical model while performing variable selection at the same time. A drawback of the fitting lies in the need of multiple model fits on slightly altered data (e.g., cross-validation or bootstrap) to find the optimal number of boosting iterations and prevent overfitting. In our proposed approach, we augment the data set with randomly permuted versions of the true variables, so-called shadow variables, and stop the stepwise fitting as soon as such a variable would be added to the model. This allows variable selection in a single fit of the model without requiring further parameter tuning. We show that our probing approach can compete with state-of-the-art selection methods like stability selection in a high-dimensional classification benchmark and apply it on three gene expression data sets.
Item Type: | Journal article |
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Faculties: | Mathematics, Computer Science and Statistics > Statistics |
Subjects: | 500 Science > 510 Mathematics |
URN: | urn:nbn:de:bvb:19-epub-55643-1 |
ISSN: | 1748-670X |
Language: | English |
Item ID: | 55643 |
Date Deposited: | 14. Jun 2018, 09:59 |
Last Modified: | 04. Nov 2020, 13:35 |