Risk Bounds for Embedded Variable Selection in Classification Trees
Statistics Theory
2012-06-27 v2 Statistics Theory
Abstract
The problems of model and variable selections for classification trees are jointly considered. A penalized criterion is proposed which explicitly takes into account the number of variables, and a risk bound inequality is provided for the tree classifier minimizing this criterion. This penalized criterion is compared to the one used during the pruning step of the CART algorithm. It is shown that the two criteria are similar under some specific margin assumptions. In practice, the tuning parameter of the CART penalty has to be calibrated by hold-out. Simulation studies are performed which confirm that the hold-out procedure mimics the form of the proposed penalized criterion.
Keywords
Cite
@article{arxiv.1108.0757,
title = {Risk Bounds for Embedded Variable Selection in Classification Trees},
author = {Servane Gey and Tristan Mary-Huard},
journal= {arXiv preprint arXiv:1108.0757},
year = {2012}
}