Controlling Variable Selection by the Addition of Pseudovariables
Yujun Wu, Dennis D. Boos, Leonard A. Stefanski · Journal of the American Statistical Association · 2007
We propose a new approach to variable selection designed to control the false selection rate (FSR), defined as the proportion of uninformative variables included in selected models. The method works by adding a known number of pseudovariables to the real dataset, running a variable selection procedure, and monitoring the proportion of pseudovariables falsely selected. Information obtained from bootstrap-like replications of this process is used to estimate the proportion of falsely selected real variables and to tune the selection procedure to control the FSR.