Detection of similar successive groups in a model with diverging number of variable groups

DOI10.1080/07474946.2020.1726687zbMATH Open1442.62119arXiv1905.08308OpenAlexW3025038799MaRDI QIDQ5113796FDOQ5113796

François Wahl, Matúš Maciak, Gabriela Ciuperca

Publication date: 17 June 2020

Published in: Sequential Analysis (Search for Journal in Brave)

Abstract: In this paper, a linear model with grouped explanatory variables is considered. The idea is to perform an automatic detection of different successive groups of the unknown coefficients under the assumption that the number of groups is of the same order as the sample size. The standard least squares loss function and the quantile loss function are both used together with the fused and adaptive fused penalty to simultaneously estimate and group the unknown parameters. The proper convergence rate is given for the obtained estimators and the upper bound for the number of different successive group is derived. A simulation study is used to compare the empirical performance of the proposed fused and adaptive fused estimators and a real application on the air quality data demonstrates the practical applicability of the proposed methods.

Full work available at URL: https://arxiv.org/abs/1905.08308

zbMATH Keywords

adaptive penaltyfused groupdiverging-dimensional group modeldifferent successive groups

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to environmental and related topics (62P12) Robustness and adaptive procedures (parametric inference) (62F35) Sequential estimation (62L12)

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Cited In (1)

• Adaptive elastic-net selection in a quantile model with diverging number of variable groups

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