Positive false discovery rate estimate in step-wise variable selection

Lang Li, Siu Hui

Research output: Contribution to journalArticle

2 Scopus citations

Abstract

Selecting predictors to optimize the outcome prediction is an important statistical method. However, it usually ignores the false positives in the selected predictors. In this article, we advocate a conventional stepwise forward variable selection method based on the predicted residual sum of squares, and develop a positive false discovery rate (pFDR) estimate for the selected predictor subset, and a local pFDR estimate to prioritize the selected predictors. This pFDR estimate takes account of the existence of non null predictors, and is proved to be asymptotically conservative. In addition, we propose two views of a variable selection process: an overall and an individual test. An interesting feature of the overall test is that its power of selecting non null predictors increases with the proportion of non null predictors among all candidate predictors. Data analysis is illustrated with an example, in which genetic and clinical predictors were selected to predict the cholesterol level change after four months of tamoxifen treatment, and pFDR was estimated. Our method's performance is evaluated through statistical simulations.

Original languageEnglish (US)
Pages (from-to)1217-1231
Number of pages15
JournalCommunications in Statistics: Simulation and Computation
Volume36
Issue number6
DOIs
StatePublished - Nov 1 2007

Keywords

  • Cross-validation
  • False discovery rate
  • Multiple-comparisons
  • Pharmacogenetics
  • Variable selection

ASJC Scopus subject areas

  • Modeling and Simulation
  • Statistics and Probability

Fingerprint Dive into the research topics of 'Positive false discovery rate estimate in step-wise variable selection'. Together they form a unique fingerprint.

  • Cite this