Random Integrated Subdata Ensemble Method for Key Variable Selection in Rare Event Setting

ABSTRACT We propose a general variable selection procedure to identify key input variables by applying elastic net regression to representative subdata in place of the full sample to select variables. We combine the lists of selected variables from each subdata through ensemble techniques, using the frequency of selecting the variable across different subdata as the final variable selection criteria. Using only variables that are frequently chosen (i.e., 90%), we are able to build a parsimonious model that optimizes predictive accuracy. We adapt this method to the rare event setting and show its application to bankruptcy data in Taiwan. In addition, we show how variable selection is affected by subdata size, , and sampling procedure.

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Publication Details

Journal
Journal of Forecasting
Published
2026-02-03
DOI
https://doi.org/10.1002/for.70120
Primary Topic
Probability and Risk Models
Type
article
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article

Random Integrated Subdata Ensemble Method for Key Variable Selection in Rare Event Setting

Henry Horng‐Shing Lu, Lih‐Yuan Deng, Justin Deng, Ching‐Chi Yang
Journal of Forecasting
Probability and Risk Models
article

Random Integrated Subdata Ensemble Method for Key Variable Selection in Rare Event Setting

Henry Horng‐Shing Lu, Lih‐Yuan Deng, Justin Deng, Ching‐Chi Yang
article en

Abstract

ABSTRACT We propose a general variable selection procedure to identify key input variables by applying elastic net regression to representative subdata in place of the full sample to select variables. We combine the lists of selected variables from each subdata through ensemble techniques, using the frequency of selecting the variable across different subdata as the final variable selection criteria. Using only variables that are frequently chosen (i.e., 90%), we are able to build a parsimonious model that optimizes predictive accuracy. We adapt this method to the rare event setting and show its application to bankruptcy data in Taiwan. In addition, we show how variable selection is affected by subdata size, , and sampling procedure.

Journal of Forecasting
Rutgers, The State University of New Jersey (US), National Yang Ming Chiao Tung University (TW), Kaohsiung Medical University (TW), Cornell University (US), Kaohsiung Medical University Chung-Ho Memorial Hospital (TW), Rutgers Sexual and Reproductive Health and Rights (NL), University of Memphis (US)
Openalex Percentile: Top 70%
Probability and Risk Models
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