Skip to content
Prev 18447 / 20628 Next

Prediction/classification & variable selection

Dear Daniel,

Maybe my understanding of your situation is a bit too simplistic, but it sounds like you have a classic case of model selection / feature selection? There are many approaches for that. The easiest would be likelihood-ratio tests (or AIC, or BIC, or some other criterion). Start with a full model (or as full as you can get while still achieving convergence) containing all combinations of predictors, remove one term, see if the model improves according to your criterion... repeat until no terms are left to be eliminated. There are many packages that can automate this procedure for you. Another option could be lasso or ridge regression, which are commonly used for feature selection in the classification literature. I don't know if the lasso has been implemented for mixed models, but I know that package mgcv allows you to specify ridge penalties via (see the documentation related to the paraPen argument).

HTH,
Cesko