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This is the classical machine-learning (statistical)
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problem of feature (variable) selection.
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Rank the genes according to their separation between
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classes, using some kind of t-statistic, or
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recursively choose the next best feature from the
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list
of unused features.
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Consider a series of classifiers incorporating the first
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p genes on the list, p = 1,2,…
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Estimate the performance of the p-feature classifier
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with leave-out-one analysis.
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Pick the best performing p.
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