Variable selection with error control: another look at stability selection

Summary.  Stability selection was recently introduced by Meinshausen and Bühlmann as a very general technique designed to improve the performance of a variable selection algorithm. It is based on aggregating the results of applying a selection procedure to subsamples of the data. We introduce a variant, called complementary pairs stability selection, and derive bounds both on the expected number of variables included by complementary pairs stability selection that have low selection probability under the original procedure, and on the expected number of high selection probability variables that are excluded. These results require no (e.g. exchangeability) assumptions on the underlying model or on the quality of the original selection procedure. Under reasonable shape restrictions, the bounds can be further tightened, yielding improved error control, and therefore increasing the applicability of the methodology.

• Publication year

  2011

• Venue

  Journal of the Royal Statistical Society: Series B (Statistical Methodology)

• Publication date

  2011-05-27

• Fields of study

  Mathematics

• Identifiers
  DOI 10.1111/j.1467-9868.2011.01034.xarXiv 1105.5578
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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