Sparse principal component regression with adaptive loading

DOI10.1016/J.CSDA.2015.03.016zbMATH Open1468.62098arXiv1402.6455OpenAlexW2071706689MaRDI QIDQ1663268FDOQ1663268

Shuichi Kawano, Toshihiko Shiroishi, Hironori Fujisawa, Toyoyuki Takada

Publication date: 21 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Abstract: Principal component regression (PCR) is a two-stage procedure that selects some principal components and then constructs a regression model regarding them as new explanatory variables. Note that the principal components are obtained from only explanatory variables and not considered with the response variable. To address this problem, we propose the sparse principal component regression (SPCR) that is a one-stage procedure for PCR. SPCR enables us to adaptively obtain sparse principal component loadings that are related to the response variable and select the number of principal components simultaneously. SPCR can be obtained by the convex optimization problem for each of parameters with the coordinate descent algorithm. Monte Carlo simulations and real data analyses are performed to illustrate the effectiveness of SPCR.

Full work available at URL: https://arxiv.org/abs/1402.6455

zbMATH Keywords

dimension reductionregularizationidentifiabilitysparsityprincipal component regression

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05)

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Cited In (10)

• Hierarchical clustered multiclass discriminant analysis via cross-validation
• Fast deflation sparse principal component analysis via subspace projections
• Sparse principal component regression via singular value decomposition approach
• Sparse factor regression via penalized maximum likelihood estimation
• Machine learning-based surrogate modeling for data-driven optimization: a comparison of subset selection for regression techniques
• Optimization problems for machine learning: a survey
• Sparse principal component regression for generalized linear models
• Interpretable Sparse Proximate Factors for Large Dimensions
• Estimation and visualization of heterogeneous treatment effects for multiple outcomes
• Performances of some high dimensional regression methods: sparse principal component regression

Uses Software

• glmnet

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