On Cross-Validation for Sparse Reduced Rank Regression
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Abstract: In high-dimensional data analysis, regularization methods pursuing sparsity and/or low rank have received a lot of attention recently. To provide a proper amount of shrinkage, it is typical to use a grid search and a model comparison criterion to find the optimal regularization parameters. However, we show that fixing the parameters across all folds may result in an inconsistency issue, and it is more appropriate to cross-validate projection-selection patterns to obtain the best coefficient estimate. Our in-sample error studies in jointly sparse and rank-deficient models lead to a new class of information criteria with four scale-free forms to bypass the estimation of the noise level. By use of an identity, we propose a novel scale-free calibration to help cross-validation achieve the minimax optimal error rate non-asymptotically. Experiments support the efficacy of the proposed methods.
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Cited in
(13)- Sparse Convoluted Rank Regression in High Dimensions
- Low-rank regularization in two-sided matrix regression
- Fast Generalized Cross-Validation Algorithm for Sparse Model Learning
- Gaining Outlier Resistance With Progressive Quantiles: Fast Algorithms and Theoretical Studies
- Recovery of simultaneous low rank and two-way sparse coefficient matrices, a nonconvex approach
- Efficient and provable online reduced rank regression via online gradient descent
- Stability Approach to Regularization Selection for Reduced-Rank Regression
- Skewed pivot-blend modeling with applications to semicontinuous outcomes
- Gaussian mixture models with concave penalized fusion
- Bi-cross-validation of the SVD and the nonnegative matrix factorization
- Low-Rank Regression Models for Multiple Binary Responses and their Applications to Cancer Cell-Line Encyclopedia Data
- Sparse reduced-rank regression with covariance estimation
- Sparse Reduced Rank Huber Regression in High Dimensions
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