Bayesian sparse multiple regression for simultaneous rank reduction and variable selection
From MaRDI portal
Publication:5222229
Abstract: We develop a Bayesian methodology aimed at simultaneously estimating low-rank and row-sparse matrices in a high-dimensional multiple-response linear regression model. We consider a carefully devised shrinkage prior on the matrix of regression coefficients which obviates the need to specify a prior on the rank, and shrinks the regression matrix towards low-rank and row-sparse structures. We provide theoretical support to the proposed methodology by proving minimax optimality of the posterior mean under the prediction risk in ultra-high dimensional settings where the number of predictors can grow sub-exponentially relative to the sample size. A one-step post-processing scheme induced by group lasso penalties on the rows of the estimated coefficient matrix is proposed for variable selection, with default choices of tuning parameters. We additionally provide an estimate of the rank using a novel optimization function achieving dimension reduction in the covariate space. We exhibit the performance of the proposed methodology in an extensive simulation study and a real data example.
Recommendations
- Bayesian sparse reduced rank multivariate regression
- Joint variable and rank selection for parsimonious estimation of high-dimensional matrices
- Sparse reduced-rank regression for simultaneous dimension reduction and variable selection
- Sparse reduced-rank regression with covariance estimation
- Parametric and semiparametric reduced-rank regression with flexible sparsity
Cited in
(15)- SPReM: sparse projection regression model for high-dimensional linear regression
- Bayesian compressed regression
- Sparse reduced-rank regression for simultaneous dimension reduction and variable selection
- A Mass-Shifting Phenomenon of Truncated Multivariate Normal Priors
- Parametric and semiparametric reduced-rank regression with flexible sparsity
- Adaptive estimation in two-way sparse reduced-rank regression
- Inference for elliptical copula multivariate response regression models
- A generalized likelihood-based Bayesian approach for scalable joint regression and covariance selection in high dimensions
- Model Interpretation Through Lower-Dimensional Posterior Summarization
- Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+
- A reduced-rank approach to predicting multiple binary responses through machine learning
- Multiple output regression with latent noise
- Bayesian sparse reduced rank multivariate regression
- Joint variable and rank selection for parsimonious estimation of high-dimensional matrices
- Large-scale multivariate sparse regression with applications to UK Biobank
This page was built for publication: Bayesian sparse multiple regression for simultaneous rank reduction and variable selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5222229)
