Tuesday, Aug 6: 10:00 AM - 10:05 AM
3385
Contributed Speed
Oregon Convention Center
The Subsampling Winner Algorithm (SWA, Fan and Sun 2021) provides a novel alternative to penalized methods and random forest procedures. This paper introduces SWA2, the next generation of SWA designed for more general data that may be subject to data heteroskedasticity or interactions. The performance of SWA2 is compared with benchmark methods, including LASSO and SCAD. A new, faster algorithm will be demonstrated through examples.
feature selection
ensemble method
regression
heteroskedasticity
high dimensional data
Main Sponsor
Section on Statistical Computing