Sequential selection of variables using short permutation procedures and multiple adjustments: An application to genomic data.

This work proposes a sequential methodology for selecting variables in classification problems in which the number of predictors is much larger than the sample size. The methodology includes a Monte Carlo permutation procedure that conditionally tests the null hypothesis of no association among the outcomes and the available predictors. In order to improve computing aspects, we propose a new parametric distribution, the Truncated and Zero Inflated Gumbel Distribution.