On the adaptive elastic net with a diverging number of parameters
From MaRDI portal
Publication:2388979
DOI10.1214/08-AOS625zbMATH Open1168.62064arXiv0908.1836WikidataQ40349223 ScholiaQ40349223MaRDI QIDQ2388979FDOQ2388979
Authors: Yanyan Li 
Publication date: 22 July 2009
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We consider the problem of model selection and estimation in situations where the number of parameters diverges with the sample size. When the dimension is high, an ideal method should have the oracle property [J. Amer. Statist. Assoc. 96 (2001) 1348--1360] and [Ann. Statist. 32 (2004) 928--961] which ensures the optimal large sample performance. Furthermore, the high-dimensionality often induces the collinearity problem, which should be properly handled by the ideal method. Many existing variable selection methods fail to achieve both goals simultaneously. In this paper, we propose the adaptive elastic-net that combines the strengths of the quadratic regularization and the adaptively weighted lasso shrinkage. Under weak regularity conditions, we establish the oracle property of the adaptive elastic-net. We show by simulations that the adaptive elastic-net deals with the collinearity problem better than the other oracle-like methods, thus enjoying much improved finite sample performance.
Full work available at URL: https://arxiv.org/abs/0908.1836
Recommendations
- On the oracle property of a generalized adaptive elastic-net for multivariate linear regression with a diverging number of parameters
- A group adaptive elastic-net approach for variable selection in high-dimensional linear regression
- The adaptive gril estimator with a diverging number of parameters
- Adaptive lasso for generalized linear models with a diverging number of parameters
- Regularization and Variable Selection Via the Elastic Net
model selectionhigh dimensionalityoracle propertyshrinkage methodselastic-netadaptive regularization
Cites Work
- Heuristics of instability and stabilization in model selection
- The Adaptive Lasso and Its Oracle Properties
- Least angle regression. (With discussion)
- Ideal spatial adaptation by wavelet shrinkage
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Title not available (Why is that?)
- Robust regression: Asymptotics, conjectures and Monte Carlo
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- Title not available (Why is that?)
- Regularization and Variable Selection Via the Elastic Net
- Enhancing sparsity by reweighted \(\ell _{1}\) minimization
- Asymptotics for Lasso-type estimators.
- Tuning parameter selectors for the smoothly clipped absolute deviation method
- Nonconcave penalized likelihood with a diverging number of parameters.
- Statistical challenges with high dimensionality: feature selection in knowledge discovery
- Asymptotic behavior of M-estimators of p regression parameters when \(p^ 2/n\) is large. I. Consistency
- On the ``degrees of freedom of the lasso
- Semilinear High-Dimensional Model for Normalization of Microarray Data
- Profile-kernel likelihood inference with diverging number of parameters
Cited In (only showing first 100 items - show all)
- High-dimensional linear regression with hard thresholding regularization: theory and algorithm
- Regression adjustment for treatment effect with multicollinearity in high dimensions
- Regularization-based bootstrap ranking model: identifying healthcare indicators among all level income economies
- A consistent and numerically efficient variable selection method for sparse Poisson regression with applications to learning and signal recovery
- Penalized profile least squares-based statistical inference for varying coefficient partially linear errors-in-variables models
- Modified SCAD penalty for constrained variable selection problems
- Nonconvex penalized ridge estimations for partially linear additive models in ultrahigh dimension
- A new data adaptive elastic net predictive model using hybridized smoothed covariance estimators with information complexity
- A generalized bridge regression in fuzzy environment and its numerical solution by a capable recurrent neural network
- On Hodges' superefficiency and merits of oracle property in model selection
- Model selection via standard error adjusted adaptive Lasso
- Informative gene selection for microarray classification via adaptive elastic net with conditional mutual information
- Convex and non-convex regularization methods for spatial point processes intensity estimation
- Variable selection and collinearity processing for multivariate data via row-elastic-net regularization
- The adaptive gril estimator with a diverging number of parameters
- Double fused Lasso regularized regression with both matrix and vector valued predictors
- On the strong oracle property of concave penalized estimators with infinite penalty derivative at the origin
- Robust variable selection for finite mixture regression models
- Stable prediction in high-dimensional linear models
- Cluster feature selection in high-dimensional linear models
- Model-free feature screening via a modified composite quantile correlation
- Grouping Variable Selection by Weight Fused Elastic Net for Multi-Collinear Data
- Adaptive fused LASSO in grouped quantile regression
- Hierarchically penalized additive hazards model with diverging number of parameters
- Robust group identification and variable selection in regression
- Variable selection and parameter estimation with the Atan regularization method
- Bi-level variable selection via adaptive sparse group Lasso
- Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks
- Penalized time-varying model averaging
- Multi-step adaptive elastic-net: reducing false positives in high-dimensional variable selection
- Least-Square Approximation for a Distributed System
- Accelerating the distance-minimizing method for data-driven elasticity with adaptive hyperparameters
- Group identification and variable selection in quantile regression
- Sparsity constrained estimation in image processing and computer vision
- On the oracle property of a generalized adaptive elastic-net for multivariate linear regression with a diverging number of parameters
- Model averaging with covariates that are missing completely at random
- The adaptive BerHu penalty in robust regression
- Variable selection with spatially autoregressive errors: a generalized moments Lasso estimator
- Variable selection and estimation using a continuous approximation to the \(L_0\) penalty
- Generalized F-test for high dimensional regression coefficients of partially linear models
- Regression with adaptive Lasso and correlation based penalty
- Robust elastic net estimators for variable selection and identification of proteomic biomarkers
- A group adaptive elastic-net approach for variable selection in high-dimensional linear regression
- Asymptotic theory of the adaptive sparse group Lasso
- Truncated \(L_1\) regularized linear regression: theory and algorithm
- Multi-task sparse identification for closed-loop systems with general observation sequences
- Adaptive-to-model checking for regressions with diverging number of predictors
- SCAD-penalized least absolute deviation regression in high-dimensional models
- Generalization error bounds of dynamic treatment regimes in penalized regression-based learning
- Efficient penalized estimation for linear regression model
- Nonnegative estimation and variable selection via adaptive elastic-net for high-dimensional data
- Combined-penalized likelihood estimations with a diverging number of parameters
- Group sparse recovery via group square-root elastic net and the iterative multivariate thresholding-based algorithm
- Negative binomial factor regression with application to microbiome data analysis
- Predictive stability criteria for penalty selection in linear models
- An Interactive Greedy Approach to Group Sparsity in High Dimensions
- Robust variable selection and estimation via adaptive elastic net S-estimators for linear regression
- Variable selection through adaptive elastic net for proportional odds model
- Penalized variable selection for accelerated failure time models with random effects
- Fast iterative regularization by reusing data
- Combining phenotypic and genomic data to improve prediction of binary traits
- Overview of robust variable selection methods for high-dimensional linear regression model
- The Penalized Analytic Center Estimator
- Improving accuracy models using elastic net regression approach based on empirical mode decomposition
- The information detection for the generalized additive model
- Penalized logistic regression with prior information for microarray gene expression classification
- One-step sparse ridge estimation with folded concave penalty
- AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
- Scalable algorithms for semiparametric accelerated failure time models in high dimensions
- Asymptotic properties of GEE estimator for clustered ordinal data with high-dimensional covariates
- The reciprocal Bayesian bridge for left-censored data
- Adaptive elastic-net selection in a quantile model with diverging number of variable groups
- Some recent statistical learning methods for longitudinal high-dimensional data
- Variable selection using \(L_q\) penalties
- Variable selection using P-splines
- Distributed subsampling for multiplicative regression
- Synthesizing external aggregated information in the penalized Cox regression under population heterogeneity
- High-dimensional index tracking based on the adaptive elastic net
- Reader reaction to “Outcome‐adaptive lasso: Variable selection for causal inference” by Shortreed and Ertefaie (2017)
- Distributed adaptive lasso penalized generalized linear models for big data
- An extensive simulation study for evaluation of penalized variable selection methods in logistic regression model with high dimensional data
- Robust Multivariate Lasso Regression with Covariance Estimation
- A mathematical model for image saturation with an application to the restoration of solar images via adaptive sparse deconvolution
- Variance estimation in high-dimensional linear regression via adaptive elastic-net
- Applications of adaptive elastic net procedure for logistic regression model
- Asymptotics of the adaptive elastic net estimation for conditional heteroscedastic time series models
- A hierarchical integrative group least absolute shrinkage and selection operator for analyzing environmental mixtures
- Bridge estimation for linear regression models with mixing properties
- Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
- Covariance Matrix Estimation via Network Structure
- Variable selection in linear regression models: choosing the best subset is not always the best choice
- Decomposition feature selection with applications in detecting correlated biomarkers of bipolar disorders
- Statistical inference for nonignorable missing-data problems: a selective review
- Consistent Bayesian information criterion based on a mixture prior for possibly high‐dimensional multivariate linear regression models
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Classification model with weighted regularization to improve the reproducibility of neuroimaging signature selection
- High-dimensional variable selection accounting for heterogeneity in regression coefficients across multiple data sources
- Firth's penalized method in Cox proportional hazard framework for developing predictive models for sparse or heavily censored survival data
- Projection correlation between scalar and vector variables and its use in feature screening with multi-response data
- Integrated partially linear model for multi-centre studies with heterogeneity and batch effect in covariates
This page was built for publication: On the adaptive elastic net with a diverging number of parameters
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2388979)
