Penalized orthogonal-components regression for large p small n data

DOI10.1214/09-EJS354zbMATH Open1326.62149arXiv0811.4167OpenAlexW2138769430MaRDI QIDQ1952001FDOQ1952001

Yanzhu Lin, Dabao Zhang, Min Zhang

Publication date: 27 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: We propose a penalized orthogonal-components regression (POCRE) for large p small n data. Orthogonal components are sequentially constructed to maximize, upon standardization, their correlation to the response residuals. A new penalization framework, implemented via empirical Bayes thresholding, is presented to effectively identify sparse predictors of each component. POCRE is computationally efficient owing to its sequential construction of leading sparse principal components. In addition, such construction offers other properties such as grouping highly correlated predictors and allowing for collinear or nearly collinear predictors. With multivariate responses, POCRE can construct common components and thus build up latent-variable models for large p small n data.

Full work available at URL: https://arxiv.org/abs/0811.4167

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zbMATH Keywords

POCREsupervised dimension reduction\(p\gg n\) dataempirical Bayes thresholdinglatent-variable modelsparse predictors

Mathematics Subject Classification ID

General nonlinear regression (62J02) Measures of association (correlation, canonical correlation, etc.) (62H20) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited In (4)

• Generalized orthogonal components regression for high dimensional generalized linear models
• Consistent High-Dimensional Bayesian Variable Selection via Penalized Credible Regions
• Bayesian variable selection with shrinking and diffusing priors
• An approach of Bayesian variable selection for ultrahigh-dimensional multivariate regression

Uses Software

• spls
• mixOmics
• EbayesThresh
• EBayesThresh

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