Correlated variables in regression: clustering and sparse estimation

DOI10.1016/J.JSPI.2013.05.019zbMath1278.62103arXiv1209.5908OpenAlexW2040912306MaRDI QIDQ394080

Philipp Rütimann, Sara van de Geer, Cun-Hui Zhang

Publication date: 24 January 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.5908

zbMATH Keywords

hierarchical clusteringvariable selectiongroup Lassohigh-dimensional inferenceoracle inequalityLassovariable screeningcanonical correlations

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Linear regression; mixed models (62J05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Uses Software

• glasso
• glmnet
• hgam

Cites Work

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• The Adaptive Lasso and Its Oracle Properties
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• Relaxed Lasso
• High-dimensional additive modeling
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• Sparse regression with exact clustering
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• Scaled sparse linear regression
• PARTIAL CORRELATION AND CONDITIONAL CORRELATION AS MEASURES OF CONDITIONAL INDEPENDENCE
• Regularization and Variable Selection Via the Elastic Net
• Model Selection and Estimation in Regression with Grouped Variables
• Simultaneous Regression Shrinkage, Variable Selection, and Supervised Clustering of Predictors with OSCAR
• The Lasso, correlated design, and improved oracle inequalities

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