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Model confidence bounds for variable selection
Author(s) -
Li Yang,
Luo Yuetian,
Ferrari Davide,
Hu Xiaonan,
Qin Yichen
Publication year - 2019
Publication title -
biometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.298
H-Index - 130
eISSN - 1541-0420
pISSN - 0006-341X
DOI - 10.1111/biom.13024
Subject(s) - nested set model , model selection , selection (genetic algorithm) , confidence interval , computer science , context (archaeology) , variable (mathematics) , monte carlo method , statistics , mathematics , data mining , machine learning , paleontology , mathematical analysis , relational database , biology
Abstract In this article, we introduce the concept of model confidence bounds (MCB) for variable selection in the context of nested models. Similarly to the endpoints in the familiar confidence interval for parameter estimation, the MCB identifies two nested models (upper and lower confidence bound models) containing the true model at a given level of confidence. Instead of trusting a single selected model obtained from a given model selection method, the MCB proposes a group of nested models as candidates and the MCB's width and composition enable the practitioner to assess the overall model selection uncertainty. A new graphical tool—the model uncertainty curve (MUC)—is introduced to visualize the variability of model selection and to compare different model selection procedures. The MCB methodology is implemented by a fast bootstrap algorithm that is shown to yield the correct asymptotic coverage under rather general conditions. Our Monte Carlo simulations and real data examples confirm the validity and illustrate the advantages of the proposed method.