mboost (version 2.0-0)

stabsel: Stability Selection

Description

Selection of influential variables or model components with error control.

Usage

stabsel(object, FWER = 0.05, cutoff, q, ...)

Arguments

object

an mboost object.

FWER

family-wise error rate to be controlled by the selection procedure.

cutoff

cutoff between 0.5 and 1.

q

average number of selected variables.

...

additional arguments to cv.

Value

• An object of class stabsel with elements
• phat
  selection probabilities.
• selected
  elements with maximal selection probability greater cutoff.
• max
  maximum of selection probabilities.
• cutoff
  cutoff used.
• q
  average number of selected variables used.
• FWER
  family-wise error rate.

Details

This function implements the "stability selection" procedure by Meinshausen and Buehlmann (2010).

Either cutoff or q must be specified. The probability of selecting at least one non-influential variable (or model component) is less than FWER.

References

N. Meinshausen and P. Buehlmann (2010), Stability selection. Journal of the Royal Statistical Society, Series B, 72(4).

Examples

### (too) low-dimensional example    
  sbody <- stabsel(glmboost(DEXfat ~ ., data = bodyfat), q = 3)
  sbody
  opar <- par(mai = par("mai") * c(1, 1, 1, 2.7))
  plot(sbody)
  par(opar)