On the Application of the Stability Methods to Time Series Data

Abstract

The important problem of selecting the predictors in a high-dimensional case where the number of candidates is larger than the sample size is often solved by the researchers from the signal processing community using the orthogonal matching pursuit algorithm or other greedy algorithms. In this work, we show how the same problem can be solved by applying methods based on the concept of stability. Even if it is not a new concept, the stability is less known in the signal processing community. We illustrate the use of stability by presenting a relatively new algorithm from this family. As part of this presentation, we conduct a simulation study to investigate the effect of various parameters on the performance of the algorithm. Additionally, we compare the stability-based method with more than eighty variants of five different greedy algorithms in an experiment with air pollution data. The comparison demonstrates that the use of stability leads to promising results in the high-dimensional case.