A component Lasso

DOI10.1002/CJS.11267zbMATH Open1329.62326arXiv1311.4472OpenAlexW2963982265MaRDI QIDQ3463403FDOQ3463403

Authors: Nadine Hussami, Robert Tibshirani 

Publication date: 14 January 2016

Published in: The Canadian Journal of Statistics (Search for Journal in Brave)

Abstract: We propose a new sparse regression method called the component lasso, based on a simple idea. The method uses the connected-components structure of the sample covariance matrix to split the problem into smaller ones. It then solves the subproblems separately, obtaining a coefficient vector for each one. Then, it uses non-negative least squares to recombine the different vectors into a single solution. This step is useful in selecting and reweighting components that are correlated with the response. Simulated and real data examples show that the component lasso can outperform standard regression methods such as the lasso and elastic net, achieving a lower mean squared error as well as better support recovery.

Full work available at URL: https://arxiv.org/abs/1311.4472

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zbMATH Keywords

Lassoelastic netsparsitygraphical Lassoconnected componentsnon-negative least squaresstrong irrepresentable condition

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited In (3)

• A note on moment inequality for quadratic forms
• Blockwise sparse regression
• Title not available (Why is that?)

Uses Software

• glasso
• glmnet

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