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.

引用

页码：275 / 294

页数：20

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