A two-step approach for variable selection in linear regression with measurement error

Jiyeon Song, Seung Jun Shin

Research output: Contribution to journalArticle


It is important to identify informative variables in high dimensional data analysis; however, it becomes a challenging task when covariates are contaminated by measurement error due to the bias induced by measurement error. In this article, we present a two-step approach for variable selection in the presence of measurement error. In the first step, we directly select important variables from the contaminated covariates as if there is no measurement error. We then apply, in the following step, orthogonal regression to obtain the unbiased estimates of regression coefficients identified in the previous step. In addition, we propose a modification of the twostep approach to further enhance the variable selection performance. Various simulation studies demonstrate the promising performance of the proposed method.

Original languageEnglish
Pages (from-to)47-55
Number of pages9
JournalCommunications for Statistical Applications and Methods
Issue number1
Publication statusPublished - 2019 Jan 1



  • Measurement error
  • Penalized orthogonal regression

ASJC Scopus subject areas

  • Statistics and Probability
  • Modelling and Simulation
  • Finance
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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