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Stability Selection

Abstract:

Estimation of structure, such as in variable selection, graphical modelling or cluster analysis is notoriously difficult, especially for high-dimensional data. We introduce stability selection. It is based on subsampling in combination with (high-dimensional) selection algorithms. As such, the method is extremely general and has a very wide range of applicability. Stability selection provides finite sample control for some error rates of false discoveries and hence a transparent principle to ...

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Publication status:
Published

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Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Role:
Author
Journal:
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
Volume:
72
Issue:
4
Pages:
417-473
Publication date:
2008-09-17
DOI:
EISSN:
1467-9868
ISSN:
1369-7412
Source identifiers:
97820
Language:
English
Keywords:
Pubs id:
pubs:97820
UUID:
uuid:b7a232fd-b35f-47d8-9257-b93626b64b35
Local pid:
pubs:97820
Deposit date:
2012-12-19

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