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arXiv 2012.07941stat.ME
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第二代P值变量选择

Variable Selection with Second-Generation P-Values

Yi Zuo, Thomas G. Stewart, Jeffrey D. Blume

摘要:

在过去的一个世纪里,已经提出了许多统计方法来选择变量,但很少有平衡推理和预测任务。在这里,我们报告了一种新的变量选择方法,称为第二代P值惩罚回归(ProSGPV)。它以当前标准所达到的最佳速率捕获真实模型,易于在实践中实现,并且通常产生最小的参数估计误差。我们的想法是使用第二代p值(SGPV)的l0惩罚方案,而不是传统的,以确定哪些变量留在模型中。该方法为平衡支持恢复、参数估计和预测任务带来了切实的优势。即使在特征间存在强共线性或考虑p > n的高维特征空间时,ProSGPV算法仍能保持其良好的性能。我们提出了广泛的模拟和现实世界的应用程序比较ProSGPV方法与平滑剪切绝对偏差(SCAD),自适应套索(AL),和最小最大凹惩罚与惩罚线性无偏选择(MC+)。虽然最后三种算法是当前变量选择的标准之一,但ProSGPV在某些情况下具有优越的推理性能和相当的预测性能。补充材料可在网上查阅。

英文摘要:

Many statistical methods have been proposed for variable selection in the past century, but few balance inference and prediction tasks well. Here we report on a novel variable selection approach called Penalized regression with Second-Generation P-Values (ProSGPV). It captures the true model at the best rate achieved by current standards, is easy to implement in practice, and often yields the smallest parameter estimation error. The idea is to use an l0 penalization scheme with second-generation p-values (SGPV), instead of traditional ones, to determine which variables remain in a model. The approach yields tangible advantages for balancing support recovery, parameter estimation, and prediction tasks. The ProSGPV algorithm can maintain its good performance even when there is strong collinearity among features or when a high dimensional feature space with p > n is considered. We present extensive simulations and a real-world application comparing the ProSGPV approach with smoothly clipped absolute deviation (SCAD), adaptive lasso (AL), and mini-max concave penalty with penalized linear unbiased selection (MC+). While the last three algorithms are among the current standards for variable selection, ProSGPV has superior inference performance and comparable prediction performance in certain scenarios. Supplementary materials are available online.

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