TY  - JOUR
A1  - Beinrucker, Andre
A1  - Dogan, Urun
A1  - Blanchard, Gilles
T1  - Extensions of stability selection using subsamples of observations and covariates
JF  - Statistics and Computing
N2  - We introduce extensions of stability selection, a method to stabilise variable selection methods introduced by Meinshausen and Buhlmann (J R Stat Soc 72:417-473, 2010). We propose to apply a base selection method repeatedly to random subsamples of observations and subsets of covariates under scrutiny, and to select covariates based on their selection frequency. We analyse the effects and benefits of these extensions. Our analysis generalizes the theoretical results of Meinshausen and Buhlmann (J R Stat Soc 72:417-473, 2010) from the case of half-samples to subsamples of arbitrary size. We study, in a theoretical manner, the effect of taking random covariate subsets using a simplified score model. Finally we validate these extensions on numerical experiments on both synthetic and real datasets, and compare the obtained results in detail to the original stability selection method.
KW  - Variable selection
KW  - Stability selection
KW  - Subsampling
Y1  - 2016
U6  - https://doi.org/10.1007/s11222-015-9589-y
SN  - 0960-3174
SN  - 1573-1375
VL  - 26
SP  - 1059
EP  - 1077
PB  - Springer
CY  - Dordrecht
ER  -