Samuel Muller ColloquiumThursday, October 15, 2015 - 2:45pm
Statistics Department Colloquium
Where: Close-Hipp Building, Room 364
Speaker: Samuel Müller
Affiliation: University of Sydney, Faculty of Science, Statistics Research Group
Title: Graphical Model Stability and Variable Selection Procedures with mplot
Abstract: This talk focuses on the computational aspects of selection criteria that are based on either inclusion or exclusion frequencies. We have developed the mplot R package which provides a collection of functions to aid exploratory variable selection. The package contains fast routines to make available modified versions of the simplified adaptive fence procedure (Jiang et al., 2009, Annals of Statistics) as well as other graphical tools such as variable inclusion plots and model selection curves (Mueller and Welsh, 2010, International Statistical Review; Murray et al, 2013, Statistics in Medicine). A browser based graphical user interface is provided to facilitate interaction with the results. These variable selection methods rely heavily on bootstrap resampling techniques. Fast performance for standard linear models is achieved using the branch and bound algorithm provided by the leaps package. The graphical model selection methods in mplot visualise popular model selection criteria that involve minimizing a penalized function of the data over a typically very large set of models. The penalty in the criterion function is controlled by a tuning parameter which determines the properties of the procedure. The implemented methods in mplot allow us to better explore the stability of model selection criteria through model selection curves and this is demonstrated through case studies.