Autori
Smaga, Łukasz
Matsui, Hidetoshi

Titolo
A note on variable selection in functional regression via random subspace method
Periodico
Statistical methods & applications : Journal of the Italian Statistical Society
Anno: 2018 - Volume: 27 - Fascicolo: 3 - Pagina iniziale: 455 - Pagina finale: 477

Variable selection problem is one of the most important tasks in regression analysis, especially in a high-dimensional setting. In this paper, we study this problem in the context of scalar response functional regression model, which is a linear model with scalar response and functional regressors. The functional model can be represented by certain multiple linear regression model via basis expansions of functional variables. Based on this model and random subspace method of Mielniczuk and Teisseyre (Comput Stat Data Anal 71:725–742, 2014), two simple variable selection procedures for scalar response functional regression model are proposed. The final functional model is selected by using generalized information criteria. Monte Carlo simulation studies conducted and a real data example show very satisfactory performance of new variable selection methods under finite samples. Moreover, they suggest that considered procedures outperform solutions found in the literature in terms of correctly selected model, false discovery rate control and prediction error.



SICI: 1618-2510(2018)27:3<455:ANOVSI>2.0.ZU;2-W

Esportazione dati in Refworks (solo per utenti abilitati)

Biblioteche ACNP che possiedono il periodico