Stability Selection

@inproceedings{Meinshausen2008StabilityS,
  title={Stability Selection},
  author={N. Meinshausen and P. B{\"u}hlmann},
  year={2008}
}
  • N. Meinshausen, P. Bühlmann
  • Published 2008
  • Mathematics
  • Estimation of structure, such as in variable selection, graphical modelling or cluster analysis, is notoriously difficult, especially for high dimensional data. We introduce stability selection. It is based on subsampling in combination with (high dimensional) selection algorithms. As such, the method is extremely general and has a very wide range of applicability. Stability selection provides finite sample control for some error rates of false discoveries and hence a transparent principle to… CONTINUE READING
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