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Variable selection through CART

Published online by Cambridge University Press:  22 October 2014

Marie Sauve
Lycée Jules Haag, 25000 Besançon, France.
Christine Tuleau-Malot
Laboratoire Jean-Alexandre Dieudonné, CNRS UMR 6621, Université de Nice Sophia-Antipolis Parc Valrose, 06108 Nice cedex 2, France;
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This paper deals with variable selection in regression and binary classification frameworks. It proposes an automatic and exhaustive procedure which relies on the use of the CART algorithm and on model selection via penalization. This work, of theoretical nature, aims at determining adequate penalties, i.e. penalties which allow achievement of oracle type inequalities justifying the performance of the proposed procedure. Since the exhaustive procedure cannot be realized when the number of variables is too large, a more practical procedure is also proposed and still theoretically validated. A simulation study completes the theoretical results.

Research Article
© EDP Sciences, SMAI 2014

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