Using reference models in variable selection

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.

Description

Funding Information: We thank Alejandro Catalina Feliu for help with experiments, and Academy of Finland (Grants 298742, and 313122), Finnish Center for Artificial Intelligence and Technology Industries of Finland Centennial Foundation (Grant 70007503; Artificial Intelligence for Research and Development) for partial support of this research. We also acknowledge the computational resources provided by the Aalto Science-IT project. Publisher Copyright: © 2022, The Author(s).

Keywords

Bayesian statistics, Model reduction, Projection predictive approach

DOI

10.1007/s00180-022-01231-6

Citation

Pavone , F , Piironen , J , Bürkner , P C & Vehtari , A 2023 , ' Using reference models in variable selection ' , Computational Statistics , vol. 38 , no. 1 , pp. 349-371 . https://doi.org/10.1007/s00180-022-01231-6

Permanent link to this item

https://urn.fi/URN:NBN:fi:aalto-202303152429

Collections

[article-cris] Perustieteiden korkeakoulu / SCI

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