How to statistically combine regression coefficients derived from subsamples of data I wrote a version of this question yesterday, and I think in my effort to be brief, I wasn't clear. So I'm trying again.
I have questions about a cross validation for ensuring the independence of data used to define clusters in a task fMRI study, and the data used to calculate a regression predicting brain activation within those clusters from other experimental variables, and a trial by trial behavioral response.
Data collection method: task fMRI + a behavioral measure (a likert scale response captured by button press).
Experimental design: 3 x 2 x 2 factorial design, variables we call TargetType, Relevance, and Taught, respectively. All these variables are within-subject. Relevance and Taught vary within run. TargetType varies between runs. Each subject did 12 runs in the scanner (4 for each TargetType, assuming no missing data). 30 trials in a run. A behavioral variable, Accuracy, which is collected for each trial (varies from 1-6).
Analysis: First and second level whole-brain analysis of the fMRI data has already been performed, modeling every experimental condition in the first level and testing contrasts of those conditions at the second level. I also performed a mixed model for the behavioral data (Accuracy ~ TargetType * Relevance * Taught + (1|Subject/Run). Among other effects, there is a strong effect of Relevance in the fMRI data, yielding several significant clusters, and a strong effect of Relevance in the behavioral data.
I am interested in the relationship between the relevance effect in the brain and the relevance effect in behavior. I constructed Relevance contrasts in both the brain and behavioral data, averaged over a single cluster, and averaged within run and Taught condition, to give the following model:
RelevanceContrast_brain ~ TargetType * Taught * RelevanceContrast_accuracy + (1|subject/run) + (1|subject:cluster)
I have several questions about this analysis. Kriegeskorte (2009) alerts me that I can't use the same data to select clusters as we use to perform our regression onto our behavioral data. Following (with a variation) one of the recommendations in the supplemental of that article, I split the runs ¾-¼, with ¾ used to generate the clusters, and ¼ used to run the above regression, except, since there is now only one run per subject after this operation, the model becomes RelevanceContrast_brain ~ TargetType * Taught * RelevanceContrast_accuracy+ (1|subject/cluster)
Upon running this model, I get several significant regression coefficients, including three way interactions. These results are interpretable and I could just stop here. The problem: I suspect this isn't a very stable estimate of these effects. If, as an experiment, I run the "illegitimate" regression using the original clusters and all the data, I get important changes in regression coefficients.
In the supplemental to the article linked above, Kriegeskorte writes:

Crossvalidation is a form of data splitting. (It thus falls under
“independent split-data analysis” in Fig. 4.) When we split the data
into two independent sets, we may designate one set as the selection
(or training) set and the other set as the test set. Obviously the
opposite assignment of the two sets would be equally justified. Since
the two assignments will not yield identical results, we are motivated
to perform the analysis for each assignment and combine the results
statistically, for greater power. This approach is the simplest form
of crossvalidation: a 2-fold crossvalidation. An n-fold
crossvalidation generalizes this idea and allows us to use most of the
data for selection (or training) and all of the data for selective
analysis, while maintaining independence of the sets. For n-fold
crossvalidation, we divide the data into n independent subsets. For
each fold i=1..n, we use set i for selective analysis after using all
other sets for selection (or training). Finally, the n selective
analyses are statistically combined. An n-fold crossvalidation for n>2
potentially confers greater power than a 2-fold crossvalidation,
because the n-fold crossvalidation provides more data for selection
(or training) on each fold. Crossvalidation is a very general and
powerful method widely used in statistical learning and pattern
classification. However, it is somewhat cumbersome and computationally
costly. While it is standard practice in pattern classification, it is
not widely used for ROI definition in systems neuroscience. Perhaps it
should be.

I'd like to do this. I see two possibilities – 4-fold cross validation (since I've already decided to divide the data using a ¾-¼ scheme) or perhaps a repeated k-fold strategy in which I take multiple overlapping random samples of our runs, perhaps 100, to generate clusters, and then use the excluded runs for the regression (this would be quite computationally expensive, among other concerns).
Here I arrive at several questions that are quite far outside my statistical expertise.
"Combine the results statistically" glosses over important details. Is it valid to take the mean of regression coefficients over all of the folds? How do we generate confidence intervals for the regression coefficients? The regression coefficients for each k-fold are really the result of two stochastic processes, the process that generated the clusters and the process that generated the regression coefficients. I am unclear on a valid strategy for characterizing the uncertainty around the regression coefficients whether using a 4-fold or a repeated k-fold strategy.
Is the repeated k-fold strategy legitimate?
Thanks in advance for any input.
The full reference for the paper I cited is:
Kriegeskorte, N., Simmons, W., Bellgowan, P. et al. Circular analysis in systems neuroscience: the dangers of double dipping. Nat Neurosci 12, 535–540 (2009)
 A: Not sure this will answer your question, but to my understanding I would do this:
If I want to find the relationship between variables and target/response, then following are the methods I am aware of

*

*Sequential Forward Selection - Finds top n variables/columns/features that gives best result by starting from 1 variable to n variable

*Sequential Backward Selection - Finds top n variables/columns/features that gives best result by starting from all variable to n variable (number of variables that you want to keep/use)

*Finding certainty that so and so variable is proving more important consistently

*

*do the bootstrapping (suppose) 100 times

*I assume that you are using logistic regression for this

*train the model, fit the data, find the coefficients (also called feature importance), store them

*do the above step for all bootstraps

*Now you have coefficients (100) for every variable / feature.

*Find the confidence interval of these 100 coefficients

*the less the variance is the more certain this coefficient is in predicting the response

*make a separate list of these features/variables

*make new model and use only these features to make predictions. Why? because we observed that the coefficients of these features have very less variance.



Now if you use different model to train (suppose you decided DecisionTree next) then this might give you different significant features. Why? DT will give features that are significant deemed by DT for prediction.
