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SimSel : a new simulation method for variable selection
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- Eklund, Martin, 1978- (author)
- Uppsala universitet,Institutionen för farmaceutisk biovetenskap
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- Zwanzig, Silvelyn (author)
- Uppsala universitet,Matematisk statistik
- (creator_code:org_t)
- Informa UK Limited, 2012
- 2012
- English.
- In: Journal of Statistical Computation and Simulation. - : Informa UK Limited. - 0094-9655 .- 1563-5163. ; 82:4, s. 515-527
- Journal article (peer-reviewed)
Abstract
Subject headings
Close
- We propose a new simulation method, SimSel, for variable selection in linear and nonlinear modelling problems. SimSel works by disturbing the input data with pseudo-errors. We then study how this disturbance affects the quality of an approximative model fitted to the data. The main idea is that disturbing unimportant variables does not affect the quality of the model fit. The use of an approximative model has the advantage that the true underlying function does not need to be known and that the method becomes insensitive to model misspecifications. We demonstrate SimSel on simulated data from linear and nonlinear models and on two real data sets. The simulation studies suggest that SimSel works well in complicated situations, such as nonlinear errors-in-variable models.
Subject headings
- NATURVETENSKAP -- Data- och informationsvetenskap (hsv//swe)
- NATURAL SCIENCES -- Computer and Information Sciences (hsv//eng)
Keyword
- variable selection
- simulation method
- pseudo-error
- pseudo-variable
Publication and Content Type
- ref (subject category)
- art (subject category)
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