The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
Abstract Details
Activity Number:
|
483
|
Type:
|
Invited
|
Date/Time:
|
Wednesday, August 3, 2011 : 10:30 AM to 12:20 PM
|
Sponsor:
|
Section on Statistical Learning and Data Mining
|
Abstract - #300073 |
Title:
|
A Second Look at Stability Selection
|
Author(s):
|
Richard Samworth*+ and Rajen Shah
|
Companies:
|
University of Cambridge and University of Cambridge
|
Address:
|
Statistical Laboratory, Cambridge, CB3 0WB, United Kingdom
|
Keywords:
|
Variable selection ;
subsamples ;
bagging
|
Abstract:
|
We study the Stability Selection procedure for variable selection introduced in the recent JRSSB discussion paper by Meinshausen and Buhlmann (2010). Stability Selection is essentially `Bagging with error control', and we show that a minor variant of the original procedure yields control of the false selection rate even for finitely many subsamples. In fact, a much improved bound holds under reasonable additional conditions. This allows the practitioner to reduce the threshold for the proportion of subsamples in which a variable must be selected in order to be declared significant, which is helpful because the original procedure tends to select rather few variables. We also discuss other aspects and applications of this promising methodology.
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2011 program
|
2011 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.