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High dimensional variable selection via tilting

Cho, Haeran and Fryzlewicz, Piotr (2012) High dimensional variable selection via tilting. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 74 (3). pp. 593-622. ISSN 1369-7412

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Abstract

The paper considers variable selection in linear regression models where the number of covariates is possibly much larger than the number of observations. High dimensionality of the data brings in many complications, such as (possibly spurious) high correlations between the variables, which result in marginal correlation being unreliable as a measure of association between the variables and the response. We propose a new way of measuring the contribution of each variable to the response which takes into account high correlations between the variables in a data-driven way. The proposed tilting procedure provides an adaptive choice between the use of marginal correlation and tilted correlation for each variable, where the choice is made depending on the values of the hard thresholded sample correlation of the design matrix. We study the conditions under which this measure can successfully discriminate between the relevant and the irrelevant variables and thus be used as a tool for variable selection. Finally, an iterative variable screening algorithm is constructed to exploit the theoretical properties of tilted correlation, and its good practical performance is demonstrated in a comparative simulation study.

Item Type: Article
Official URL: http://www.blackwellpublishing.com/journal.asp?ref...
Additional Information: © 2012 Royal Statistical Society
Library of Congress subject classification: H Social Sciences > H Social Sciences (General)
H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling
D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D80 - General
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 15 Mar 2012 16:21
URL: http://eprints.lse.ac.uk/42564/

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