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Exploiting disagreement between high-dimensional variable selectors for uncertainty visualization

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  • Yuen, Christine
  • Fryzlewicz, Piotr

Abstract

We propose combined selection and uncertainty visualizer (CSUV), which visualizes selection uncertainties for covariates in high-dimensional linear regression by exploiting the (dis)agreement among different base selectors. Our proposed method highlights covariates that get selected the most frequently by the different base variable selection methods on subsampled data. The method is generic and can be used with different existing variable selection methods. We demonstrate its performance using real and simulated data. The corresponding R package CSUV is at https://github.com/christineyuen/CSUV, and the graphical tool is also available online via https://csuv.shinyapps.io/csuv.

Suggested Citation

  • Yuen, Christine & Fryzlewicz, Piotr, 2022. "Exploiting disagreement between high-dimensional variable selectors for uncertainty visualization," LSE Research Online Documents on Economics 112480, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:112480
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    File URL: http://eprints.lse.ac.uk/112480/
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    More about this item

    Keywords

    high-dimensional data; variable selection; uncertainty visualization; T&F deal;
    All these keywords.

    JEL classification:

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

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