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March 2009 A simple forward selection procedure based on false discovery rate control
Yoav Benjamini, Yulia Gavrilov
Ann. Appl. Stat. 3(1): 179-198 (March 2009). DOI: 10.1214/08-AOAS194

Abstract

We propose the use of a new false discovery rate (FDR) controlling procedure as a model selection penalized method, and compare its performance to that of other penalized methods over a wide range of realistic settings: nonorthogonal design matrices, moderate and large pool of explanatory variables, and both sparse and nonsparse models, in the sense that they may include a small and large fraction of the potential variables (and even all). The comparison is done by a comprehensive simulation study, using a quantitative framework for performance comparisons in the form of empirical minimaxity relative to a “random oracle”: the oracle model selection performance on data dependent forward selected family of potential models. We show that FDR based procedures have good performance, and in particular the newly proposed method, emerges as having empirical minimax performance. Interestingly, using FDR level of 0.05 is a global best.

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Yoav Benjamini. Yulia Gavrilov. "A simple forward selection procedure based on false discovery rate control." Ann. Appl. Stat. 3 (1) 179 - 198, March 2009. https://doi.org/10.1214/08-AOAS194

Information

Published: March 2009
First available in Project Euclid: 16 April 2009

zbMATH: 1160.62068
MathSciNet: MR2668704
Digital Object Identifier: 10.1214/08-AOAS194

Keywords: Linear regression , multiple testing , random oracle

Rights: Copyright © 2009 Institute of Mathematical Statistics

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Vol.3 • No. 1 • March 2009
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