Sparse Poisson regression with penalized weighted score function

DOI10.1214/19-EJS1580MaRDI QIDQ2323944zbMATH OpenOpenAlexFDO

Authors Jinzhu Jia, Fang Xie, Lihu Xu

Publication date 13 September 2019

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

Full work available at URL https://arxiv.org/abs/1703.03965, https://projecteuclid.org/euclid.ejs/1567065625

zbMATH Keywords

Poisson regressionimage reconstructionsquare root Lassotuning-free

Mathematics Subject Classification ID

Statistical aspects of big data and data science (62R07) Ridge regression; shrinkage estimators (Lasso) (62J07) Image analysis in multivariate analysis (62H35)

Abstract: We proposed a new penalized method in this paper to solve sparse Poisson Regression problems. Being different from $el{l}_1$ penalized log-likelihood estimation, our new method can be viewed as penalized weighted score function method. We show that under mild conditions, our estimator is $el{l}_1$ consistent and the tuning parameter can be pre-specified, which shares the same good property of the square-root Lasso.

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Cites work

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Cited in

(11)

• A consistent and numerically efficient variable selection method for sparse Poisson regression with applications to learning and signal recovery
• scientific article; zbMATH DE number 7370643 (Why is no real title available?)
• A new homotopy proximal variable-metric framework for composite convex minimization
• High-dimensional Poisson structural equation model learning via \(\ell_1\)-regularized regression
• Oracle inequalities for weighted group Lasso in high-dimensional Poisson regression model
• On high-dimensional Poisson models with measurement error: hypothesis testing for nonlinear nonconvex optimization
• The lasso under Poisson-like heteroscedasticity
• Adaptive Lasso and group-Lasso for functional Poisson regression
• Estimating a regression function in exponential families by model selection
• Weak Signal Identification and Inference in Penalized Likelihood Models for Categorical Responses
• Consistency of \(\ell_1\) penalized negative binomial regressions

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