相关论文: Prediction modelling with many correlated and zero…

The success of the Lasso in the era of high-dimensional data can be attributed to its conducting an implicit model selection, i.e., zeroing out regression coefficients that are not significant. By contrast, classical ridge regression can…

We study the problem of high-dimensional variable selection via some two-step procedures. First we show that given some good initial estimator which is $\ell_{\infty}$-consistent but not necessarily variable selection consistent, we can…

The least absolute shrinkage and selection operator (Lasso) is a popular method for high-dimensional statistics. However, it is known that the Lasso often has estimation bias and prediction error. To address such disadvantages, many…

We consider the application of a popular penalised regression method, Ridge Regression, to data with very high dimensions and many more covariates than observations. Our motivation is the problem of out-of-sample prediction and the setting…

Features in predictive models are not exchangeable, yet common supervised models treat them as such. Here we study ridge regression when the analyst can partition the features into $K$ groups based on external side-information. For example,…

In this work, we propose an automatic method for the analysis of experiments that incorporates hierarchical relationships between the experimental variables. We use a modified version of nonnegative garrote method for variable selection…

Induction benefits from useful priors. Penalized regression approaches, like ridge regression, shrink weights toward zero but zero association is usually not a sensible prior. Inspired by simple and robust decision heuristics humans use, we…

Regularized regression techniques for linear regression have been created the last few ten years to reduce the flaws of ordinary least squares regression with regard to prediction accuracy. In this paper, new methods for using regularized…

A Two-Stage approach enables researchers to make optimal non-linear predictions via Generalized Ridge Regression using models that contain two or more x-predictor variables and make only realistic minimal assumptions. The optimal regression…

While shrinkage is essential in high-dimensional settings, its use for low-dimensional regression-based prediction has been debated. It reduces variance, often leading to improved prediction accuracy. However, it also inevitably introduces…

Inexpensive surrogates are useful for reducing the cost of science and engineering studies involving large-scale, complex computational models with many input parameters. A ridge approximation is one class of surrogate that models a…

We study the asymptotic properties of Lasso+mLS and Lasso+Ridge under the sparse high-dimensional linear regression model: Lasso selecting predictors and then modified Least Squares (mLS) or Ridge estimating their coefficients. First, we…

Logistic regression is a standard method in multivariate analysis for binary outcome data in epidemiological and clinical studies; however, the resultant odds-ratio estimates fail to provide directly interpretable effect measures. The…

For many high-dimensional studies, additional information on the variables, like (genomic) annotation or external p-values, is available. In the context of binary and continuous prediction, we develop a method for adaptive group-regularized…

In this paper, we present a new variational method for sparse regression using $L_0$ regularization. The variational parameters appear in the approximate model in a way that is similar to Breiman's Garrote model. We refer to this method as…

Penalized selection criteria like AIC or BIC are among the most popular methods for variable selection. Their theoretical properties have been studied intensively and are well understood, but making use of them in case of high-dimensional…

We consider the problem of model selection and estimation in sparse high dimensional linear regression models with strongly correlated variables. First, we study the theoretical properties of the dual Lasso solution, and we show that joint…

Regularization aims to improve prediction performance of a given statistical modeling approach by moving to a second approach which achieves worse training error but is expected to have fewer degrees of freedom, i.e., better agreement…

Logistic regression model is widely used in many studies to investigate the relationship between a binary response variable Y and a set of potential predictors $X_1,\ldots, X_p$ (for example: $Y = 1$ if the outcome occurred and $Y = 0$…

$\ell_p$-norm penalization, notably the Lasso, has become a standard technique, extending shrinkage regression to subset selection. Despite aiming for oracle properties and consistent estimation, existing Lasso-derived methods still rely on…