Georg Heinze, Christine Wallisch, Daniela DunklerSection for Clinical Biometrics, Center for Medical Statistics, Informatics and Intelligent Systems, Medical University of Vienna, Vienna 1090, Austria Abstract: Statistical models support medical research by facilitating individualized outcome prognostication conditional on independent variables or by estimating effects of risk factors adjusted for covariates. Theory of statistical models is well-established if the set of independent variables to consider is fixed and small. Hence, we can assume that effect estimates are unbiased and the usual methods for confidence interval estimation are valid. In routine work, however, it is not known a priori which covariates should be included in a model, and often we are confronted with the number of candidate variables in the range 10–30. This number is often too large to be considered in a sta- tistical model. We provide an overview of various available variable selection meth- ods that are based on significance or information criteria, penalized likelihood, the change-in-estimate criterion, background knowledge, or combinations thereof. These methods were usually developed in the context of a linear regression model and then transferred to more generalized linear models or models for censored survival data. Variable selection, in particular if used in explanatory modeling where effect estimates are of central interest, can compromise stability of a final model, unbiasedness of regression coefficients, and validity of p-values or confidence intervals. Therefore, we give pragmatic recommendations for the practicing statistician on application of variable selection methods in general (low-dimensional) modeling problems and on performing stability investigations and inference. We also propose some quantities based on resampling the entire variable selection process to be routinely reported by software packages offering automated variable selection algorithms.Keywords: change-in-estimate criterion, penalized likelihood, resampling, statistical model, stepwise selectionSpeaker: Georg HeinzeLocation:Institute of Computer Science Czech Academy of Sciences Lecture Room 222 Pod Vodárenskou věží 2 182 07 Prague Date: Thursday 17 October 2019Time:13:30 o'clock |