Feature selection guided by structural information

Details Feature selection guided by structural information Feature selection guided by structural information

2010-11-10

arxiv.org/abs/1011.2315v1

Annals of Applied Statistics 2010, Vol. 4, No. 2, 1056-1080

Statistics

Applications

Published in at http://dx.doi.org/10.1214/09-AOAS302 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Ins

Scientific paper

10.1214/09-AOAS302

In generalized linear regression problems with an abundant number of features, lasso-type regularization which imposes an $\ell^1$-constraint on the regression coefficients has become a widely established technique. Deficiencies of the lasso in certain scenarios, notably strongly correlated design, were unmasked when Zou and Hastie [J. Roy. Statist. Soc. Ser. B 67 (2005) 301--320] introduced the elastic net. In this paper we propose to extend the elastic net by admitting general nonnegative quadratic constraints as a second form of regularization. The generalized ridge-type constraint will typically make use of the known association structure of features, for example, by using temporal- or spatial closeness. We study properties of the resulting "structured elastic net" regression estimation procedure, including basic asymptotics and the issue of model selection consistency. In this vein, we provide an analog to the so-called "irrepresentable condition" which holds for the lasso. Moreover, we outline algorithmic solutions for the structured elastic net within the generalized linear model family. The rationale and the performance of our approach is illustrated by means of simulated and real world data, with a focus on signal regression.

Affiliated with

Also associated with

No associations

Rating

Feature selection guided by structural information does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Feature selection guided by structural information, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Feature selection guided by structural information will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-613699