Random Subspace Method for high-dimensional regression with the R package regRSM

Paweł Teisseyre (), Robert A. Kłopotek and Jan Mielniczuk
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Paweł Teisseyre: Polish Academy of Sciences
Robert A. Kłopotek: Polish Academy of Sciences
Jan Mielniczuk: Polish Academy of Sciences

Computational Statistics, 2016, vol. 31, issue 3, No 7, 943-972

Abstract: Abstract Model selection and variable importance assessment in high-dimensional regression are among the most important tasks in contemporary applied statistics. In our procedure, implemented in the package regRSM, the Random Subspace Method (RSM) is used to construct a variable importance measure. The variables are ordered with respect to the measures computed in the first step using the RSM and then, from the hierarchical list of models given by the ordering, the final subset of variables is chosen using information criteria or validation set. Modifications of the original method such as the weighted Random Subspace Method and the version with initial screening of redundant variables are discussed. We developed parallel implementations which enable to reduce the computation time significantly. In this paper, we give a brief overview of the methodology, demonstrate the package’s functionality and present a comparative study of the proposed algorithm and the competitive methods like lasso or CAR scores. In the performance tests the computational times for parallel implementations are compared.

Keywords: Random Subspace Method; High-dimensional regression; Variable importance measure; Generalized Information Criterion; MPI; R (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s00180-016-0658-2

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