Validation tools for variable subset regression

Abstract

Variable selection is applied frequently in QSAR research. Since the selection process influences the characteristics of the finally chosen model, thorough validation of the selection technique is very important. Here, a validation protocol is presented briefly and two of the tools which are part of this protocol are introduced in more detail. The first tool, which is based on permutation testing, allows to assess the inflation of internal figures of merit (such as the cross-validated prediction error). The other tool, based on noise addition, can be used to determine the complexity and with it the stability of models generated by variable selection. The obtained statistical information is important in deciding whether or not to trust the predictive abilities of a specific model. The graphical output of the validation tools is easily accessible and provides a reliable impression of model performance. Among others, the tools were employed to study the influence of leave-one-out and leave-multiple-out cross-validation on model characteristics. Here, it was confirmed that leave-multiple-out cross-validation yields more stable models. To study the performance of the entire validation protocol, it was applied to eight different QSAR data sets with default settings. In all cases internal and external model performance was good, indicating that the protocol serves its purpose quite well.