Sample size requirements for learning to classify with high

A common problem in biomedical research is to calculate the sample size required to learn a classifier using a (possibly high-dimensional) panel of biomarkers. This paper describes a simple method based on a Gaussian approximation for calculating the predictive performance of the learned classifier given the size of the biomarker panel, the size of the training sample, and the optimal predictive performance (expressed as C-statistic C opt ) of the biomarker panel that could be obtained if a training sample of unlimited size were available. Under the assumption that the biomarker effect sizes have the same correlation structure as the biomarkers, the required sample size does not depend upon these correlations, but only upon C opt and upon the sparsity of the distribution of effect sizes, defined by the proportion of biomarkers that have nonzero effects. To learn a classifier that extracts 80% of the predictive information, the required case sample size varies from about 0.1 cases per variable for a panel with C opt = 0 . 9 and a sparse distribution of effect sizes (such that 1% of biomarkers have nonzero effect sizes) to nine cases per variable for a panel with C opt = 0 . 75 and a diffuse distribution of effect sizes