A Robust Supervised Variable Selection for Noisy High-Dimensional Data

0444727 - ÚI 2016 RIV US eng J - Journal Article
Kalina, Jan - Schlenker, Anna
A Robust Supervised Variable Selection for Noisy High-Dimensional Data.
BioMed Research International. Roč. 2015 (2015), č. článku 320385. ISSN 2314-6133. E-ISSN 2314-6141
R&D Projects: GA ČR GA13-17187S
Institutional support: RVO:67985807
Keywords : dimensionality reduction * variable selection * robustness
Subject RIV: BA - General Mathematics
Impact factor: 2.134, year: 2015

The Minimum Redundancy Maximum Relevance (MRMR) approach to supervised variable selection represents a successful methodology for dimensionality reduction, which is suitable for high-dimensional data observed in two or more different groups. Various available versions of the MRMR approach have been designed to search for variables with the largest relevance for a classification task while controlling for redundancy of the selected set of variables. However, usual relevance and redundancy criteria have the disadvantages of being too sensitive to the presence of outlying measurements and/or being inefficient. We propose a novel approach called Minimum Regularized Redundancy Maximum Robust Relevance (MRRMRR), suitable for noisy high-dimensional data observed in two groups. It combines principles of regularization and robust statistics. Particularly, redundancy is measured by a new regularized version of the coefficient of multiple correlation and relevance is measured by a highly robust correlation coefficient based on the least weighted squares regression with data-adaptive weights. We compare various dimensionality reduction methods on three real data sets. To investigate the influence of noise or outliers on the data, we perform the computations also for data artificially contaminated by severe noise of various forms. The experimental results confirm the robustness of the method with respect to outliers.
Permanent Link: http://hdl.handle.net/11104/0247234