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Stochastic Stepwise Ensembles for Variable Selection (1003.5930v2)
Published 30 Mar 2010 in stat.ME, stat.CO, and stat.ML
Abstract: 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.
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