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On selecting interacting features from high-dimensional data

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  • Hall, Peter
  • Xue, Jing-Hao

Abstract

For high-dimensional data, most feature-selection methods, such as SIS and the lasso, involve ranking and selecting features individually. These methods do not require many computational resources, but they ignore feature interactions. A simple recursive approach, which, without requiring many more computational resources, also allows identification of interactions, is investigated. This approach can lead to substantial improvements in the performance of classifiers, and can provide insight into the way in which features work together in a given population. It also enjoys attractive statistical properties.

Suggested Citation

  • Hall, Peter & Xue, Jing-Hao, 2014. "On selecting interacting features from high-dimensional data," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 694-708.
    • Handle: RePEc:eee:csdana:v:71:y:2014:i:c:p:694-708
    DOI: 10.1016/j.csda.2012.10.010
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    References listed on IDEAS

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    3. Peter Hall & D. M. Titterington & Jing‐Hao Xue, 2009. "Tilting methods for assessing the influence of components in a classifier," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(4), pages 783-803, September.
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    Cited by:

    1. Feng Li & Yajie Li & Sanying Feng, 2021. "Estimation for Varying Coefficient Models with Hierarchical Structure," Mathematics, MDPI, vol. 9(2), pages 1-18, January.
    2. Frénay, Benoît & Doquire, Gauthier & Verleysen, Michel, 2014. "Estimating mutual information for feature selection in the presence of label noise," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 832-848.
    3. Jun Lu & Dan Wang & Qinqin Hu, 2022. "Interaction screening via canonical correlation," Computational Statistics, Springer, vol. 37(5), pages 2637-2670, November.
    4. Xiong, Wei & Chen, Yaxian & Ma, Shuangge, 2023. "Unified model-free interaction screening via CV-entropy filter," Computational Statistics & Data Analysis, Elsevier, vol. 180(C).
    5. Timothy I. Cannings & Richard J. Samworth, 2017. "Random-projection ensemble classification," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(4), pages 959-1035, September.

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