Stochastic Stepwise Ensembles for Variable Selection

被引：37
|
作者：
Xin, Lu [1 ]
Zhu, Mu [1 ]
机构：
[1] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada
来源：
JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS | 2012年 / 21卷 / 02期
基金：
加拿大自然科学与工程研究理事会;
关键词：
False negative rate; False positive rate; LASSO; Ranking; Stochastic search; Strength-diversity tradeoff; REGRESSION; SHRINKAGE;
D O I：
10.1080/10618600.2012.679223
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this article, we advocate the ensemble approach for variable selection. We point out that the stochastic mechanism used to generate the variable-selection ensemble (VSE) must be picked with care. We construct a VSE using a stochastic stepwise algorithm and compare its performance with numerous state-of-the-art algorithms. Supplemental materials for the article are available online.
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页码：275 / 294
页数：20
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