Factor models and variable selection in high-dimensional regression analysis

Details Factor models and variable selection in high-dimensional regression analysis Factor models and variable selection in high-dimensional regression analysis

2012-02-23

arxiv.org/abs/1202.5151v1

Annals of Statistics 2011, Vol. 39, No. 5, 2410-2447

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/11-AOS905 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/11-AOS905

The paper considers linear regression problems where the number of predictor variables is possibly larger than the sample size. The basic motivation of the study is to combine the points of view of model selection and functional regression by using a factor approach: it is assumed that the predictor vector can be decomposed into a sum of two uncorrelated random components reflecting common factors and specific variabilities of the explanatory variables. It is shown that the traditional assumption of a sparse vector of parameters is restrictive in this context. Common factors may possess a significant influence on the response variable which cannot be captured by the specific effects of a small number of individual variables. We therefore propose to include principal components as additional explanatory variables in an augmented regression model. We give finite sample inequalities for estimates of these components. It is then shown that model selection procedures can be used to estimate the parameters of the augmented model, and we derive theoretical properties of the estimators. Finite sample performance is illustrated by a simulation study.

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