Estimating the error variance in a high-dimensional linear model

DOI10.48550/ARXIV.1712.02412zbMATH Open1464.62350arXiv1712.02412OpenAlexW2775219695WikidataQ128276228 ScholiaQ128276228MaRDI QIDQ152045FDOQ152045

Authors: Guo Yu, Jacob Bien, Guo Yu, Jacob Bien 

Publication date: 6 December 2017

Published in: Biometrika (Search for Journal in Brave)

Abstract: The lasso has been studied extensively as a tool for estimating the coefficient vector in the high-dimensional linear model; however, considerably less is known about estimating the error variance in this context. In this paper, we propose the natural lasso estimator for the error variance, which maximizes a penalized likelihood objective. A key aspect of the natural lasso is that the likelihood is expressed in terms of the natural parameterization of the multiparameter exponential family of a Gaussian with unknown mean and variance. The result is a remarkably simple estimator of the error variance with provably good performance in terms of mean squared error. These theoretical results do not require placing any assumptions on the design matrix or the true regression coefficients. We also propose a companion estimator, called the organic lasso, which theoretically does not require tuning of the regularization parameter. Both estimators do well empirically compared to preexisting methods, especially in settings where successful recovery of the true support of the coefficient vector is hard. Finally, we show that existing methods can do well under fewer assumptions than previously known, thus providing a fuller story about the problem of estimating the error variance in high-dimensional linear models.

Full work available at URL: https://arxiv.org/abs/1712.02412

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zbMATH Keywords

Lassoerror variance estimationGaussian exponential familynatural parameterization

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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