Investigation on the improvement of prediction by bootstrap model averaging
Hollander, N., Augustin, N. H. and Sauerbrei, W., 2006. Investigation on the improvement of prediction by bootstrap model averaging. Methods of Information in Medicine, 45 (1), pp. 44-50.
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Objectives. We illustrate a recently proposed two-step bootstrap model averaging (bootstrap MA) approach to cope with model selection uncertainty. The predictive performance is investigated in an example and in a simulation study. Results are compared to those derived from other model selection methods. Methods. In the framework of the linear regression model we use the two-step bootstrap MA, which consists of a screening step to eliminate covariates thought to hove no influence on the response, and a model-averaging step. We also apply the full model, variable selection using backward elimination based on Akaike's Information Criterion (AIC), the Bayes Information Criterion (BIC) and the bagging approach. The predictive performance is measured by the mean squared error (MSE) and the (overage of confidence intervals for the true response. Results: We obtained similar results for all approaches in the example. In the simulation the MSE was reduced by all approaches in comparison to the full model. The smallest values ore obtained for bootstrap MA. Only the bootstrap MA and the full model correctly estimated the nominal coverage. The backward elimination procedures led to substantial underestimation and bagging to an overestimation of the true coverage. The screening stop of bootstrap MA eliminates most of the unimportant factors. Conclusion: The new bootstrap MA approach shows promising results for predictive performance. It increases practical usefulness by eliminating unimportant factors in the screening step.
|Creators||Hollander, N., Augustin, N. H. and Sauerbrei, W.|
|Uncontrolled Keywords||inference, cox regression-model, prediction, bootstrap model averaging, uncertainty, model uncertainty, selection, variable selection|
|Departments||Faculty of Science > Mathematical Sciences|
|Additional Information||ID number: ISI:000234822900007|
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