On the Selection Stability of Stability Selection and Its Applications

• URL: http://arxiv.org/abs/2411.09097v3
• Date: Tue, 03 Jun 2025 08:30:13 GMT
• Title: On the Selection Stability of Stability Selection and Its Applications
• Authors: Mahdi Nouraie, Samuel Muller,
• Abstract summary: This paper seeks to broaden the use of an established stability estimator to evaluate the overall stability of the stability selection results.<n>We calibrate key stability selection parameters, namely, the decision-making threshold and the expected number of falsely selected variables.<n>The convergence of stability values over successive sub-samples sheds light on the required number of sub-samples.
• Score: 2.263635133348731
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Stability selection is a widely adopted resampling-based framework for high-dimensional variable selection. This paper seeks to broaden the use of an established stability estimator to evaluate the overall stability of the stability selection results, moving beyond single-variable analysis. We suggest that the stability estimator offers two advantages: it can serve as a reference to reflect the robustness of the results obtained, and it can help identify a Pareto optimal regularization value to improve stability. By determining the regularization value, we calibrate key stability selection parameters, namely, the decision-making threshold and the expected number of falsely selected variables, within established theoretical bounds. In addition, the convergence of stability values over successive sub-samples sheds light on the required number of sub-samples addressing a notable gap in prior studies. The \texttt{stabplot} R package is developed to facilitate the use of the methodology featured in this paper.

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