Using reference models in variable selection

Abstract

Variable selection, or more generally, model reduction is an important aspect of the statistical workflow aiming to provide insights from data. In this paper, we discuss and demonstrate the benefits of using a reference model in variable selection. A reference model acts as a noise-filter on the target variable by modeling its data generating mechanism. As a result, using the reference model predictions in the model selection procedure reduces the variability and improves stability, leading to improved model selection performance. Assuming that a Bayesian reference model describes the true distribution of future data well, the theoretically preferred usage of the reference model is to project its predictive distribution to a reduced model, leading to projection predictive variable selection approach. We analyse how much the great performance of the projection predictive variable is due to the use of reference model and show that other variable selection methods can also be greatly improved by using the reference model as target instead of the original data. In several numerical experiments, we investigate the performance of the projective prediction approach as well as alternative variable selection methods with and without reference models. Our results indicate that the use of reference models generally translates into better and more stable variable selection.