On properties of predictors derived with a two-step bootstrap model averaging approach - A simulation study in the linear regression model

TY - JOUR

T1 - On properties of predictors derived with a two-step bootstrap model averaging approach - A simulation study in the linear regression model

AU - Buchholz, Anika

AU - Holländer, Norbert

AU - Sauerbrei, Willi

PY - 2008

Y1 - 2008

N2 - In many applications of model selection there is a large number of explanatory variables and thus a large set of candidate models. Selecting one single model for further inference ignores model selection uncertainty. Often several models fit the data equally well. However, these models may differ in terms of the variables included and might lead to different predictions. To account for model selection uncertainty, model averaging procedures have been proposed. Recently, an extended two-step bootstrap model averaging approach has been proposed. The first step of this approach is a screening step. It aims to eliminate variables with negligible effect on the outcome. In the second step the remaining variables are considered in bootstrap model averaging. A large simulation study is performed to compare the MSE and coverage rate of models derived with bootstrap model averaging, the full model, backward elimination using Akaike and Bayes information criterion and the model with the highest selection probability in bootstrap samples. In a data example, these approaches are also compared with Bayesian model averaging. Finally, some recommendations for the development of predictive models are given.

AB - In many applications of model selection there is a large number of explanatory variables and thus a large set of candidate models. Selecting one single model for further inference ignores model selection uncertainty. Often several models fit the data equally well. However, these models may differ in terms of the variables included and might lead to different predictions. To account for model selection uncertainty, model averaging procedures have been proposed. Recently, an extended two-step bootstrap model averaging approach has been proposed. The first step of this approach is a screening step. It aims to eliminate variables with negligible effect on the outcome. In the second step the remaining variables are considered in bootstrap model averaging. A large simulation study is performed to compare the MSE and coverage rate of models derived with bootstrap model averaging, the full model, backward elimination using Akaike and Bayes information criterion and the model with the highest selection probability in bootstrap samples. In a data example, these approaches are also compared with Bayesian model averaging. Finally, some recommendations for the development of predictive models are given.

U2 - 10.1016/j.csda.2007.10.007

DO - 10.1016/j.csda.2007.10.007

M3 - SCORING: Journal article

VL - 52

SP - 2778

EP - 2793

JO - COMPUT STAT DATA AN

JF - COMPUT STAT DATA AN

SN - 0167-9473

IS - 5

ER -