Interpretability of bi‐level variable selection methods

Abstract Variable selection is usually performed to increase interpretability, as sparser models are easier to understand than full models. However, a focus on sparsity is not always suitable, for example, when features are related due to contextual similarities or high correlations. Here, it may be more appropriate to identify groups and their predictive members, a task that can be accomplished with bi‐level selection procedures. To investigate whether such techniques lead to increased interpretability, group exponential LASSO (GEL), sparse group LASSO (SGL), composite minimax concave penalty (cMCP), and least absolute shrinkage, and selection operator (LASSO) as reference methods were used to select predictors in time‐to‐event, regression, and classification tasks in bootstrap samples from a cohort of 1001 patients. Different groupings based on prior knowledge, correlation structure, and random assignment were compared in terms of selection relevance, group consistency, and collinearity tolerance. The results show that bi‐level selection methods are superior to LASSO in all criteria. The cMCP demonstrated superiority in selection relevance, while SGL was convincing in group consistency. An all‐round capacity was achieved by GEL: the approach jointly selected correlated and content‐related predictors while maintaining high selection relevance. This method seems recommendable when variables are grouped, and interpretation is of primary interest.