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Ranking-based variable selection for high-dimensional data

Author

Listed:
  • Baranowski, Rafal
  • Chen, Yining
  • Fryzlewicz, Piotr

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.

Suggested Citation

  • Baranowski, Rafal & Chen, Yining & Fryzlewicz, Piotr, 2020. "Ranking-based variable selection for high-dimensional data," LSE Research Online Documents on Economics 90233, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:90233
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    File URL: http://eprints.lse.ac.uk/90233/
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    References listed on IDEAS

    as
    1. Haeran Cho & Piotr Fryzlewicz, 2012. "High dimensional variable selection via tilting," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 74(3), pages 593-622, June.
    2. Jianqing Fan & Yunbei Ma & Wei Dai, 2014. "Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(507), pages 1270-1284, September.
    3. Jianqing Fan & Jinchi Lv, 2008. "Sure independence screening for ultrahigh dimensional feature space," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(5), pages 849-911, November.
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    More about this item

    Keywords

    variable screening; subset selection; bootstrap; stability selection.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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