期刊
ANNALS OF APPLIED STATISTICS
卷 3, 期 1, 页码 179-198出版社
INST MATHEMATICAL STATISTICS
DOI: 10.1214/08-AOAS194
关键词
Linear regression; multiple testing; random oracle
资金
- US-Israel Binational Science Foundation [1999441]
- US National Institute of Health
We propose the use of if 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 oil 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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