An Easy-to-Implement Hierarchical Standardization for Variable Selection Under Strong Heredity Constraint

For many practical problems, the regression models follow the strong heredity property (also known as the marginality), which means they include parent main effects when a second-order effect is present. Existing methods rely mostly on special penalty functions or algorithms to enforce the strong he...

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Bibliographic Details
Published in:Journal of statistical theory and practice Vol. 14; no. 3
Main Authors: Chen, Kedong, Li, William, Wang, Sijian
Format: Journal Article
Language:English
Published: Cham Springer International Publishing 01.09.2020
Subjects:
Algorithms
Analysis and Advanced Methodologies in the Design of Experiments
Mathematics and Statistics
Original Article
Probability Theory and Stochastic Processes
Statistical Theory and Methods
Statistics
Marginality
Hierarchical standardization
Heredity
Hierarchical structure
Variable selection
ISSN:1559-8608, 1559-8616
Online Access:Get full text
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Summary:For many practical problems, the regression models follow the strong heredity property (also known as the marginality), which means they include parent main effects when a second-order effect is present. Existing methods rely mostly on special penalty functions or algorithms to enforce the strong heredity in variable selection. We propose a novel hierarchical standardization procedure to maintain strong heredity in variable selection. Our method is effortless to implement and is applicable to any variable selection method for any type of regression. The performance of the hierarchical standardization is comparable to that of the regular standardization. We also provide robustness checks and real data analysis to illustrate the merits of our method.
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ISSN:1559-8608
1559-8616
DOI:10.1007/s42519-020-00102-x