Aggregated methods for covariates selection in high-dimensional data under dependence
Résumé
We propose a new methodology to select and rank covariates associated to a variable of interest in a context of high-dimensional data under dependence but few observations. The methodology imbricates successively rough selection, clustering of variables, decorrelation of variables using Factor Latent Analysis, selection using aggregation of adapted methods and finally ranking through bootstrap replications. Simulations study shows the interest of the decorrelation inside the different clusters of covariates. The methodology is applied to real data