A penalized criterion for variable selection in classification

Tristan Mary-Huard, Stéphane Robin and Jean-Jacques Daudin

Journal of Multivariate Analysis, 2007, vol. 98, issue 4, 695-705

Abstract: In this paper, the problem of variable selection in classification is considered. On the basis of recent developments in model selection theory, we provide a criterion based on penalized empirical risk, where the penalization explicitly takes into account the number of variables of the considered models. Moreover, we give an oracle-type inequality that non-asymptotically guarantees the performance of the resulting classification rule. We discuss the optimality of the proposed criterion and present an application of the main result to backward and forward selection procedures.

Keywords: Statistical; learning; Variable; selection; Oracle; inequality; Penalized; criterion (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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