Sparse Laplacian shrinkage with the graphical Lasso estimator for regression problems
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Publication:2125484
Abstract: This paper considers a high-dimensional linear regression problem where there are complex correlation structures among predictors. We propose a graph-constrained regularization procedure, named Sparse Laplacian Shrinkage with the Graphical Lasso Estimator (SLS-GLE). The procedure uses the estimated precision matrix to describe the specific information on the conditional dependence pattern among predictors, and encourages both sparsity on the regression model and the graphical model. We introduce the Laplacian quadratic penalty adopting the graph information, and give detailed discussions on the advantages of using the precision matrix to construct the Laplacian matrix. Theoretical properties and numerical comparisons are presented to show that the proposed method improves both model interpretability and accuracy of estimation. We also apply this method to a financial problem and prove that the proposed procedure is successful in assets selection.
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Cited in
(8)- Graph-based regularization for regression problems with alignment and highly correlated designs
- A significance test for graph-constrained estimation
- Doubly sparse regression incorporating graphical structure among predictors
- Coordinate descent algorithm for covariance graphical Lasso
- Graphical-model based high dimensional generalized linear models
- Multivariate sparse Laplacian shrinkage for joint estimation of two graphical structures
- Graphical lassos for meta‐elliptical distributions
- The sparse Laplacian shrinkage estimator for high-dimensional regression
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