Stochastic Stepwise Ensembles for Variable Selection

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Mar 02, 2011
Lu Xin, Mu Zhu
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In this article, we advocate the ensemble approach for variable selection. We point out that the stochastic mechanism used to generate the variable-selection ensemble (VSE) must be picked with care. We construct a VSE using a stochastic stepwise algorithm, and compare its performance with numerous state-of-the-art algorithms.

* Journal of Computational and Graphical Statistics, June 2012, Vol. 21, No. 2, Pages 275 - 294  
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