TABLE 5.
Stability measure | What it should estimate (interpretation of the estimand) | How it should be estimated (resampling approach) | Rationale and limitation |
---|---|---|---|
Variable inclusion frequency | Probability of a variable to be selected in the final model | Subsampling with m = 0.5N (S0.5) | Consistent and efficient estimation for nonpredictor |
Model selection frequency | Probability of a specific combination of variables to constitute the final model | Subsampling with m = 0.5N (S0.5) | Consistent and efficient estimation |
Relative conditional bias | Bias of a selected regression coefficient relative to the true regression coefficient | Bootstrap | Consistent and efficient estimation |
Root mean squared difference ratio | Inflation of the SE of a regression coefficient induced by the variable selection procedure | Bootstrap |
Consistent for uncorrelated predictors Overestimated for correlated predictors and for nonpredictors |