Usage of the GO estimator in high dimensional linear models

Genç M., Özkale M. R.

COMPUTATIONAL STATISTICS, cilt.36, ss.217-239, 2021 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 36
  • Basım Tarihi: 2021
  • Doi Numarası: 10.1007/s00180-020-01001-2
  • Dergi Adı: COMPUTATIONAL STATISTICS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, ABI/INFORM, zbMATH, Civil Engineering Abstracts
  • Sayfa Sayıları: ss.217-239
  • Anahtar Kelimeler: Coordinate descent algorithm, Elastic net, Grouping property, Lasso, Shrinkage, Variable selection, VARIABLE SELECTION, REGRESSION, REGULARIZATION
  • Çukurova Üniversitesi Adresli: Evet

Özet

This paper discusses simultaneous parameter estimation and variable selection and presents a new penalized regression method. The method is based on the idea that the coefficient estimates are shrunken towards a predetermined coefficient vector which represents the prior information. This method can result in smaller length estimates of the coefficients depending on the prior information compared to elastic net. In addition to the establishment of the grouping property, we also show that the new method has the grouping effect when the predictors are highly correlated. Simulation studies and real data example show that the prediction performance of the new method is improved over the well-known ridge, lasso and elastic net regression methods yielding a lower mean squared error and competes about the variable selection under sparse and non-sparse situations.