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Wharton

Department of Statistics

24

Adaptive Thresholding

Threshold changes to conform to attributes of data

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Easier to add features as more are found.

Threshold for first predictor

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Compare conservative t-ratio to Bonferroni.

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Bonferroni is about Sqrt(2 log p)

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If something significant is found, continue.

Threshold for second predictor

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Compare t-ratio to reduced threshold

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New threshold is about Sqrt(2 log p/2)

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