Variable selection from a stability path — selection • quadrupen

S3 generic for variable selection based on a StabilityPath object, as introduced by Meinshausen and Buhlmann (2010).

Usage

selection(object, ...)

# S3 method for class 'StabilityPath'
selection(
  object,
  sel_mode = c("rank", "PFER"),
  cutoff = 0.75,
  PFER = 2,
  nvarsel = NULL,
  ...
)

Arguments

object: a StabilityPath object.
...: not used, only here for S3 compatibility.
sel_mode: a character string, either "rank" or "PFER". Default is "rank".
cutoff: probability threshold for sel_mode = "PFER". Default is 0.75.
PFER: per-family error rate to control for sel_mode = "PFER". Default is 2.
nvarsel: number of variables to select for sel_mode = "rank". Default is floor(nobs / log(nvar)).

Value

an integer vector of selected variable indices.

Methods (by class)

selection(StabilityPath): S3 method for variable selection from a StabilityPath

References

N. Meinshausen and P. Buhlmann (2010). Stability Selection, JRSS(B).

See also