Barbara Bodinier, Sarah Filippi, Therese Haugdahl Nøst, Julien Chiquet, Marc Chadeau-Hyam

Automated calibration for stability selection in penalised regression and graphical models

  • Statistics, Probability and Uncertainty
  • Statistics and Probability
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Abstract Stability selection represents an attractive approach to identify sparse sets of features jointly associated with an outcome in high-dimensional contexts. We introduce an automated calibration procedure via maximisation of an in-house stability score and accommodating a priori-known block structure (e.g. multi-OMIC) data. It applies to [Least Absolute Shrinkage Selection Operator (LASSO)] penalised regression and graphical models. Simulations show our approach outperforms non-stability-based and stability selection approaches using the original calibration. Application to multi-block graphical LASSO on real (epigenetic and transcriptomic) data from the Norwegian Women and Cancer study reveals a central/credible and novel cross-OMIC role of LRRN3 in the biological response to smoking. Proposed approaches were implemented in the R package sharp.

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