Ranking-based variable selection for high-dimensional data

Rafal Baranowski, Yining Chen and Piotr Fryzlewicz

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

Abstract: We propose a ranking-based variable selection (RBVS) technique that identifies important variables influencing the response in high-dimensional data. RBVS uses subsampling to identify the covariates that appear nonspuriously at the top of a chosen variable ranking. We study the conditions under which such a set is unique, and show that it can be recovered successfully from the data by our procedure. Unlike many existing high-dimensional variable selection techniques, among all relevant variables, RBVS distinguishes between important and unimportant variables, and aims to recover only the important ones. Moreover, RBVS does not require model restrictions on the relationship between the response and the covariates, and, thus, is widely applicable in both parametric and nonparametric contexts. Lastly, we illustrate the good practical performance of the proposed technique by means of a comparative simulation study. The RBVS algorithm is implemented in rbvs, a publicly available R package.

Keywords: variable screening; subset selection; bootstrap; stability selection. (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2020-07-01
New Economics Papers: this item is included in nep-cmp, nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Statistica Sinica, 1, July, 2020, 30(3), pp. 1485 - 1516. ISSN: 1017-0405

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:90233

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