Abstract

ZHONG, Yi; HE, Jianghua  and  CHALISE, Prabhakar. Nested and Repeated Cross Validation for Classification Model With High-dimensional Data. Rev.Colomb.Estad. [online]. 2020, vol.43, n.1, pp.103-125.  Epub June 05, 2020. ISSN 0120-1751.  https://doi.org/10.15446/rce.v43n1.80000.

With the advent of high throughput technologies, the high-dimensional datasets are increasingly available. This has not only opened up new insight into biological systems but also posed analytical challenges. One important problem is the selection of informative feature-subset and prediction of the future outcome. It is crucial that models are not overfitted and give accurate results with new data. In addition, reliable identification of informative features with high predictive power (feature selection) is of interests in clinical settings. We propose a two-step framework for feature selection and classification model construction, which utilizes a nested and repeated cross-validation method. We evaluated our approach using both simulated data and two publicly available gene expression datasets. The proposed method showed comparatively better predictive accuracy for new cases than the standard cross-validation method.

Keywords : Area under ROC curve; Cross-validation; Elastic net; Random forest; Support vector machine.

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