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arXiv · 1301.7118

A note on selection stability: combining stability and prediction

Yixin Fang·Junhui Wang·Wei Sun
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Abstract

Recently, many regularized procedures have been proposed for variable selection in linear regression, but their performance depends on the tuning parameter selection. Here a criterion for the tuning parameter selection is proposed, which combines the strength of both stability selection and cross-validation and therefore is referred as the prediction and stability selection (PASS). The selection consistency is established assuming the data generating model is a subset of the full model, and the small sample performance is demonstrated through some simulation studies where the assumption is either held or violated.

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Yixin Fang, Junhui Wang, Wei Sun. 2013-01-30. A note on selection stability: combining stability and prediction. https://arxiv.org/abs/1301.7118

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