Estimating the False Discovery Rate of Variable Selection
Fuente:
arXiv
Salvato in:
| Autori principali: | , , |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2024
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866910030517764096 |
|---|---|
| author | Luo, Yixiang Fithian, William Lei, Lihua |
| author_facet | Luo, Yixiang Fithian, William Lei, Lihua |
| contents | We introduce a generic estimator for the false discovery rate of any model selection procedure, in common statistical modeling settings including the Gaussian linear model, Gaussian graphical model, and model-X setting. We prove that our method has a conservative (non-negative) bias in finite samples under standard statistical assumptions, and provide a bootstrap method for assessing its standard error. For methods like the Lasso, forward-stepwise regression, and the graphical Lasso, our estimator serves as a valuable companion to cross-validation, illuminating the tradeoff between prediction error and variable selection accuracy as a function of the model complexity parameter. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_07231 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Estimating the False Discovery Rate of Variable Selection Luo, Yixiang Fithian, William Lei, Lihua Methodology 62H12, 62J07 We introduce a generic estimator for the false discovery rate of any model selection procedure, in common statistical modeling settings including the Gaussian linear model, Gaussian graphical model, and model-X setting. We prove that our method has a conservative (non-negative) bias in finite samples under standard statistical assumptions, and provide a bootstrap method for assessing its standard error. For methods like the Lasso, forward-stepwise regression, and the graphical Lasso, our estimator serves as a valuable companion to cross-validation, illuminating the tradeoff between prediction error and variable selection accuracy as a function of the model complexity parameter. |
| title | Estimating the False Discovery Rate of Variable Selection |
| topic | Methodology 62H12, 62J07 |
| url | https://arxiv.org/abs/2408.07231 |