Variable selection using MM algorithms
From MaRDI portal
Publication:2583414
Abstract: Variable selection is fundamental to high-dimensional statistical modeling. Many variable selection techniques may be implemented by maximum penalized likelihood using various penalty functions. Optimizing the penalized likelihood function is often challenging because it may be nondifferentiable and/or nonconcave. This article proposes a new class of algorithms for finding a maximizer of the penalized likelihood for a broad class of penalty functions. These algorithms operate by perturbing the penalty function slightly to render it differentiable, then optimizing this differentiable function using a minorize-maximize (MM) algorithm. MM algorithms are useful extensions of the well-known class of EM algorithms, a fact that allows us to analyze the local and global convergence of the proposed algorithm using some of the techniques employed for EM algorithms. In particular, we prove that when our MM algorithms converge, they must converge to a desirable point; we also discuss conditions under which this convergence may be guaranteed. We exploit the Newton-Raphson-like aspect of these algorithms to propose a sandwich estimator for the standard errors of the estimators. Our method performs well in numerical tests.
Recommendations
- Variable selection in multivariate multiple regression
- MM algorithms for distance covariance based sufficient dimension reduction and sufficient variable selection
- The variable selection methods and algorithms in the multiple linear model
- The Mnet method for variable selection
- MM Algorithms for Variance Components Models
- Predictive Variable Selection for the Multivariate Linear Model
- Variable selection for multivariate generalized linear models
- MM ALGORITHMS FOR VARIANCE COMPONENT ESTIMATION AND SELECTION IN LOGISTIC LINEAR MIXED MODEL
Cites work
- scientific article; zbMATH DE number 46301 (Why is no real title available?)
- scientific article; zbMATH DE number 3513549 (Why is no real title available?)
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- scientific article; zbMATH DE number 739537 (Why is no real title available?)
- scientific article; zbMATH DE number 1059776 (Why is no real title available?)
- scientific article; zbMATH DE number 1086057 (Why is no real title available?)
- scientific article; zbMATH DE number 1906319 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- A Note on the Efficiency of Sandwich Covariance Matrix Estimation
- A Statistical View of Some Chemometrics Regression Tools
- New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis
- Nonconcave penalized likelihood with a diverging number of parameters.
- On the convergence properties of the EM algorithm
- On the rate of convergence of the ECM algorithm
- Partial likelihood
- Regularization of Wavelet Approximations
- Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Variable selection for Cox's proportional hazards model and frailty model
- Variable selection for multivariate failure time data
Cited in
(only showing first 100 items - show all)- Variable selection in linear measurement error models via penalized score functions
- A general theory of concave regularization for high-dimensional sparse estimation problems
- Penalized factor mixture analysis for variable selection in clustered data
- Variable selection for varying coefficient models via kernel based regularized rank regression
- An ordinary differential equation-based solution path algorithm
- Partial linear modelling with multi-functional covariates
- Simultaneous variable selection and structural identification for time‐varying coefficient models
- Data mining for longitudinal data under multicollinearity and time dependence using penalized generalized estimating equations
- A globally convergent algorithm for Lasso-penalized mixture of linear regression models
- Heteroscedasticity identification and variable selection via multiple quantile regression
- An iterative approach to distance correlation-based sure independence screening
- Sparse identification of nonlinear dynamical systems via non-convex penalty least squares
- Variable selection of the quantile varying coefficient regression models
- Variable selection in robust semiparametric modeling for longitudinal data
- Smoothed rank correlation of the linear transformation regression model
- A focused information criterion for graphical models in fMRI connectivity with high-dimensional data
- MM algorithms for distance covariance based sufficient dimension reduction and sufficient variable selection
- Sparse recovery via nonconvex regularized \(M\)-estimators over \(\ell_q\)-balls
- Doubly robust weighted composite quantile regression based on SCAD‐L2
- Penalized MM regression estimation with \(L_\gamma\) penalty: a robust version of bridge regression
- Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply
- Variable selection in robust regression models for longitudinal data
- Modified SCAD penalty for constrained variable selection problems
- Majorization-minimization algorithms for nonsmoothly penalized objective functions
- Sparse permutation invariant covariance estimation
- Coordinate majorization descent algorithm for nonconvex penalized regression
- A split-and-conquer variable selection approach for high-dimensional general semiparametric models with massive data
- A two-stage bridge estimator for regression models with endogeneity based on control function method
- Variable selection in elliptical linear mixed model
- Simultaneous variable selection and de-coarsening in multi-path change-point models
- The use of random-effect models for high-dimensional variable selection problems
- Robust structure identification and variable selection in partial linear varying coefficient models
- Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle
- Robust and smoothing variable selection for quantile regression models with longitudinal data
- Fused-MCP With Application to Signal Processing
- Robust truss topology optimization via semidefinite programming with complementarity constraints: a difference-of-convex programming approach
- MM Algorithms for Variance Components Models
- The MM alternative to EM
- Review: Reversed low-rank ANOVA model for transforming high dimensional genetic data into low dimension
- Ultra-High Dimensional Quantile Regression for Longitudinal Data: An Application to Blood Pressure Analysis
- Estimation in multivariate linear mixed models for longitudinal data with multiple outputs: Application to PBCseq data analysis
- Structured variable selection via prior-induced hierarchical penalty functions
- On optimality of Bayesian testimation in the normal means problem
- Penalized variable selection for accelerated failure time models with random effects
- Penalized variable selection in copula survival models for clustered time-to-event data
- Network exploration via the adaptive LASSO and SCAD penalties
- Global solutions to folded concave penalized nonconvex learning
- A Bayesian lasso via reversible-jump MCMC
- Variable selection for frailty transformation models with application to diabetic complications
- The trimmed Lasso: sparse recovery guarantees and practical optimization by the generalized soft-min penalty
- Screening active factors in supersaturated designs
- Penalized generalized estimating equations approach to longitudinal data with multinomial responses
- Hidden Markov models with applications in cell adhesion experiments
- Variable selection for spatial semivarying coefficient models
- Another look at distance-weighted discrimination
- Penalized empirical likelihood for partially linear errors-in-variables models
- A review on the adaptive-ridge algorithm with several extensions
- Overview of robust variable selection methods for high-dimensional linear regression model
- Folded concave penalized sparse linear regression: sparsity, statistical performance, and algorithmic theory for local solutions
- Sparse classification: a scalable discrete optimization perspective
- Endogeneity in high dimensions
- Model selection and structure specification in ultra-high dimensional generalised semi-varying coefficient models
- Relaxed sparse eigenvalue conditions for sparse estimation via non-convex regularized regression
- Penalized least-squares estimation for regression coefficients in high-dimensional partially linear models
- Statistical Software VASMM for Variable Selection in Multivariate Methods
- Estimation and variable selection for generalized additive partial linear models
- One-step sparse ridge estimation with folded concave penalty
- On optimizing the sum of the Rayleigh quotient and the generalized Rayleigh quotient on the unit sphere
- Asymptotic properties of lasso in high-dimensional partially linear models
- Variable selection for survival data with a class of adaptive elastic net techniques
- Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes
- New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
- A model selection method based on the adaptive Lasso-penalized GEE and weighted Gaussian pseudo-likelihood BIC in longitudinal robust analysis
- Selection and combination of biomarkers using ROC method for disease classification and prediction
- Variable selection in semiparametric regression modeling
- Finite mixture of varying coefficient model: estimation and component selection
- Asymptotic properties of bridge estimators in sparse high-dimensional regression models
- Nonbifurcating Phylogenetic Tree Inference via the Adaptive LASSO
- Walsh-average based variable selection for varying coefficient models
- Iterative conditional maximization algorithm for nonconcave penalized likelihood
- Robust penalized logistic regression with truncated loss functions
- A new sparse variable selection via random-effect model
- A random-effect model approach for group variable selection
- Variable selection for panel count data via non-concave penalized estimating function
- Variable selection in linear mixed models using an extended class of penalties
- Penalized generalized estimating equations for high-dimensional longitudinal data analysis
- Functional index coefficient models with variable selection
- Robust estimation for partially linear models with large-dimensional covariates
- Thresholding-based iterative selection procedures for model selection and shrinkage
- A global two-stage algorithm for non-convex penalized high-dimensional linear regression problems
- Fixed and Random Effects Selection in Mixed Effects Models
- Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix
- Variable selection for zero‐inflated and overdispersed data with application to health care demand in Germany
- Active-set strategy based on a general modified Newton-Raphson algorithm for variable selection in highly ill-posed inverse problems
- High-dimensional variable screening through kernel-based conditional mean dependence
- Lasso, fractional norm and structured sparse estimation using a Hadamard product parametrization
- Variable selection and parameter estimation with the Atan regularization method
- Maximum likelihood estimation of triangular and polygonal distributions
- Estimation and variable selection for proportional response data with partially linear single-index models
- Sparse pathway-based prediction models for high-throughput molecular data
This page was built for publication: Variable selection using MM algorithms
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2583414)
