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On the RODEO Method for Variable Selection

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Francesco Giordano

    (University of Salerno, Department of Economics and Statistics)

  • Maria Lucia Parrella

    (University of Salerno, Department of Economics and Statistics)

Abstract

In this work, we work around an iterative estimation procedure which has been proposed recently by Lafferty and Wasserman. The procedure is called RODEO and can be used to select the relevant covariates of a sparse regression model. A drawback of the RODEO is that it fails to isolate some relevant covariates, in particular those which have linear effects on the model, and for such reason it is suggested to use the RODEO on the residuals of a LASSO. Here we propose a test which can be integrated to the RODEO procedure in order to fill this gap and complete the final step of the variable selection procedure. A two-stage procedure is therefore proposed. The results of a simulation study show a good performance of the new procedure.

Suggested Citation

  • Francesco Giordano & Maria Lucia Parrella, 2014. "On the RODEO Method for Variable Selection," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 171-178, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-02499-8_16
    DOI: 10.1007/978-3-319-02499-8_16
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