SimSel: a new simulation method for variable selection

Abstract

We propose a new simulation method, SimSel, for variable selection in linear and nonlinear modelling problems. SimSel works by disturbing the input data with pseudo-errors. We then study how this disturbance affects the quality of an approximative model fitted to the data. The main idea is that disturbing unimportant variables does not affect the quality of the model fit. The use of an approximative model has the advantage that the true underlying function does not need to be known and that the method becomes insensitive to model misspecifications. We demonstrate SimSel on simulated data from linear and nonlinear models and on two real data sets. The simulation studies suggest that SimSel works well in complicated situations, such as nonlinear errors-in-variable models.