- STATISTICS SEMINAR
- Speaker: Garth Tarr, School of Mathematical and Physical Sciences, The University of Newcastle
- Title: Interactive and data adaptive model selection with mplot
- Location: Room V103, Mathematics Building (Callaghan Campus) The University of Newcastle
- Time and Date: 3:00 pm, Fri, 30th Oct 2015
This talk introduces the approach to model selection based on the concept of model stability (Meinshausen and Bühlmann, 2010; Müller and Welsh 2010). We present the mplot R package which provides a collection of functions designed to help users visualise the stability of the variable selection process. A browser based graphical user interface is provided to facilitate interaction with the results.
We have developed routines for modified versions of the simplified adaptive fence procedure (Jiang et al., 2009) and other graphical tools such as variable inclusion plots and model selection plots (Müller and Welsh, 2010; Murray et al., 2013). We also propose extensions to higher dimensional models using via bootstrapping lasso estimates and incorporate robustness to outliers via an initial screening process (Filzmoser et al., 2008).
While the focus to date has been on linear and generalised linear models, we are currently working on expanding the set of methods available to encompass mixed models and robust regression models. We will give an overview of what has been achieved and discuss areas for future research.
Filzmoser P, Maronna RA and Werner M (2008). Outlier Identification in High Dimensions. Computational Statistics & Data Analysis 52(3), 1694–1711. DOI: 10.1016/j.csda.2007.05.018.
Jiang J, Nguyen T & Rao JS (2009). A simplified adaptive fence procedure. Statistics & Probability Letters, 79(5), 625-629. DOI: 10.1016/j.spl.2008.10.014
Meinshausen N, and Bühlmann P (2010). Stability Selection. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 72(4), 417–73. DOI: 10.1111/j.1467-9868.2010.00740.x.
Müller S & Welsh AH (2010). On Model Selection Curves. International Statistical Review, 78, 240-256. DOI: 10.1111/j.1751-5823.2010.00108.x
Murray K, Heritier S and Müller S (2013). Graphical tools for model selection in generalized linear models. Statistics in Medicine, 32, 4438-4451. DOI: 10.1002/sim.5855
Tarr G, Müller S and Welsh AH. mplot: Graphical model stability and model selection procedures. Preprint.
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