Usage of the GO estimator in high dimensional linear models


Genç M. , Özkale M. R.

COMPUTATIONAL STATISTICS, vol.36, pp.217-239, 2021 (Journal Indexed in SCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 36
  • Publication Date: 2021
  • Doi Number: 10.1007/s00180-020-01001-2
  • Title of Journal : COMPUTATIONAL STATISTICS
  • Page Numbers: pp.217-239
  • Keywords: Coordinate descent algorithm, Elastic net, Grouping property, Lasso, Shrinkage, Variable selection, VARIABLE SELECTION, REGRESSION, REGULARIZATION

Abstract

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.