Supervised and Unsupervised Variable Selection

Whitley, Ford and Livingstone recommend the following strategy for model construction  

Select variables that have significant correlations with the response variable above some lower bound (supervised selection) 

Omit columns that have variance below some minimum value 

This procedure can be performed either with item 1, in which case it is considered to be a supervised variable selection meaning that the response variable has selected variables, or without item 1, relegating it to an unsupervised selection category. 

The analysis that we now describe was performed with the software package Paragon developed at the Centre for Molecular Design at the University of Portsmouth. Paragon is available from (www.cmd.port.ac.uk). With this software, we can set various levels of multicolinearity (step 3) that is to 

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