Bootstrap choice of cost complexity for better subset selection

Research output: Contribution to journalArticle

8 Scopus citations

Abstract

Subset selection is a long-standing problem. One goal of a selection procedure is consistency. Consistency using Akaike's Final Prediction Error Criterion (FPE) as a selection procedure can be shown to be related to the cost complexity parameter in FPE. However, another goal of a selection procedure is accurate predictions. The consistency property does not necessarily guarantee this second objective. The issue can be thought of as a bias versus variance tradeoff for the procedure. We use the bootstrap to model this tradeoff and provide an objective way of choosing a procedure which attempts to balance the two objectives. This is done in the spirit of the cost complexity pruning algorithm of classification and regression trees. The methodology is described and illustrated on simulated and real data examples.

Original languageEnglish (US)
Pages (from-to)273-287
Number of pages15
JournalStatistica Sinica
Volume9
Issue number1
StatePublished - Jan 1 1999
Externally publishedYes

Keywords

  • Adaptive estimation
  • Mallow's C
  • Model selection
  • Prediction error
  • Resampling methods

ASJC Scopus subject areas

  • Mathematics(all)
  • Statistics and Probability

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