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Abstract Details
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Activity Number:
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483
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Type:
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Invited
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Date/Time:
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Wednesday, August 3, 2011 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Statistical Learning and Data Mining
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| Abstract - #300073 |
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Title:
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A Second Look at Stability Selection
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Author(s):
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Richard Samworth*+ and Rajen Shah
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Companies:
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University of Cambridge and University of Cambridge
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Address:
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Statistical Laboratory, Cambridge, CB3 0WB, United Kingdom
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Keywords:
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Variable selection ;
subsamples ;
bagging
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Abstract:
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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.
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