Exploiting disagreement between high-dimensional variable selectors for uncertainty visualization

Christine Yuen and Piotr Fryzlewicz

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We propose combined selection and uncertainty visualizer (CSUV), which visualizes selection uncertainties for covariates in high-dimensional linear regression by exploiting the (dis)agreement among different base selectors. Our proposed method highlights covariates that get selected the most frequently by the different base variable selection methods on subsampled data. The method is generic and can be used with different existing variable selection methods. We demonstrate its performance using real and simulated data. The corresponding R package CSUV is at https://github.com/christineyuen/CSUV, and the graphical tool is also available online via https://csuv.shinyapps.io/csuv.

Keywords: high-dimensional data; variable selection; uncertainty visualization (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2022-04-03
New Economics Papers: this item is included in nep-ecm and nep-ore
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Published in Journal of Computational and Graphical Statistics, 3, April, 2022, 31(2), pp. 351 - 359. ISSN: 1061-8600

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:112480

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