Individualized Multidirectional Variable Selection
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Abstract: In this paper we propose a heterogeneous modeling framework which achieves individual-wise feature selection and individualized covariates' effects subgrouping simultaneously. In contrast to conventional model selection approaches, the new approach constructs a separation penalty with multi-directional shrinkages, which facilitates individualized modeling to distinguish strong signals from noisy ones and selects different relevant variables for different individuals. Meanwhile, the proposed model identifies subgroups among which individuals share similar covariates' effects, and thus improves individualized estimation efficiency and feature selection accuracy. Moreover, the proposed model also incorporates within-individual correlation for longitudinal data to gain extra efficiency. We provide a general theoretical foundation under a double-divergence modeling framework where the number of individuals and the number of individual-wise measurements can both diverge, which enables inference on both an individual level and a population level. In particular, we establish strong oracle property for the individualized estimator to ensure its optimal large sample property under various conditions. An efficient ADMM algorithm is developed for computational scalability. Simulation studies and applications to post-trauma mental disorder analysis with genetic variation and an HIV longitudinal treatment study are illustrated to compare the new approach to existing methods.
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Cited in
(29)- Subgroup learning for multiple mixed-type outcomes with block-structured covariates
- A forward k-means algorithm for regression clustering
- Integrated subgroup identification from multi-source data
- Heterogeneous quantile regression for longitudinal data with subgroup structures
- Gene-environment interaction analysis under the Cox model
- Simultaneous Coefficient Clustering and Sparsity for Multivariate Mixed Models
- Crowdsourcing Utilizing Subgroup Structure of Latent Factor Modeling
- A novel communication-efficient heterogeneous federated positive and unlabeled learning method for credit scoring
- Subgroup analysis with concave pairwise fusion penalty for ordinal response
- Integrative subgroup analysis for high-dimensional mixed-type multi-response data
- Variable selection in modelling clustered data via within-cluster resampling
- Structure learning via unstructured kernel-based M-estimation
- Robust integrative analysis via quantile regression with homogeneity and sparsity
- Query-Augmented Active Metric Learning
- Center-Augmented ℓ2-Type Regularization for Subgroup Learning
- Learning social relationships: a network embedding-based approach for community detection via cosine-similarity
- De-confounding Causal Inference Using Latent Multiple-Mediator Pathways
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- High-dimensional subgroup regression analysis
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