An Adaptive Resampling Test for Detecting the Presence of Significant Predictors

• 成果类型: Article
• 署名作者: McKeague, Ian W.; Qian, Min
• 署名单位: Columbia University
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2015.1095099
• 发表日期: 2015
• 页码: 1422-1433
• 关键词: VARIABLE SELECTION; HIGHER CRITICISM; inference; Lasso; regression; parameter; bootstrap; BOUNDARY

摘要

This article investigates marginal screening for detecting the presence of significant predictors in high-dimensional regression. Screening large numbers of predictors is a challenging problem due to the nonstandard limiting behavior of post-model-selected estimators. There is a common misconception that the oracle property for such estimators is a panacea, but the oracle property only holds away from the null hypothesis of interest in marginal screening. To address this difficulty, we propose an adaptive resampling test (ART). Our approach provides an alternative to the popular (yet conservative) Bonferroni method of controlling family-wise error rates. ART is adaptive in the sense that thresholding is used to decide whether the centered percentile bootstrap applies, and otherwise adapts to the nonstandard asymptotics in the tightest way possible. The performance of the approach is evaluated using a simulation study and applied to gene expression data and HIV drug resistance data.