Library Header Image
LSE Research Online LSE Library Services

High dimensional variable selection via tilting

Cho, Haeran and Fryzlewicz, Piotr ORCID: 0000-0002-9676-902X (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

Full text not available from this repository.
Identification Number: 10.1111/j.1467-9868.2011.01023.x


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:
Additional Information: © 2012 Royal Statistical Society
Divisions: Statistics
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
JEL classification: 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
Date Deposited: 15 Mar 2012 16:21
Last Modified: 16 May 2024 01:25

Actions (login required)

View Item View Item