Group SLOPE – Adaptive Selection of Groups of Predictors

DOI10.1080/01621459.2017.1411269zbMATH Open1478.62200arXiv1610.04960OpenAlexW2963325939WikidataQ92886270 ScholiaQ92886270MaRDI QIDQ5229924FDOQ5229924

Authors: Damian Brzyski, Alexej Gossmann, Weijie Su, Małgorzata Bogdan 

Publication date: 19 August 2019

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Abstract: Sorted L-One Penalized Estimation (SLOPE) is a relatively new convex optimization procedure which allows for adaptive selection of regressors under sparse high dimensional designs. Here we extend the idea of SLOPE to deal with the situation when one aims at selecting whole groups of explanatory variables instead of single regressors. Such groups can be formed by clustering strongly correlated predictors or groups of dummy variables corresponding to different levels of the same qualitative predictor. We formulate the respective convex optimization problem, gSLOPE (group SLOPE), and propose an efficient algorithm for its solution. We also define a notion of the group false discovery rate (gFDR) and provide a choice of the sequence of tuning parameters for gSLOPE so that gFDR is provably controlled at a prespecified level if the groups of variables are orthogonal to each other. Moreover, we prove that the resulting procedure adapts to unknown sparsity and is asymptotically minimax with respect to the estimation of the proportions of variance of the response variable explained by regressors from different groups. We also provide a method for the choice of the regularizing sequence when variables in different groups are not orthogonal but statistically independent and illustrate its good properties with computer simulations. Finally, we illustrate the advantages of gSLOPE in the context of Genome Wide Association Studies. R package grpSLOPE with implementation of our method is available on CRAN.

Full work available at URL: https://arxiv.org/abs/1610.04960

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zbMATH Keywords

model selectionfalse discovery rategroup selectionmultiple regressionslopeasymptotic minimax

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07) Paired and multiple comparisons; multiple testing (62J15)

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Cited In (7)

• SLOPE-adaptive variable selection via convex optimization
• Sparse index clones via the sorted \(\ell_1\)-norm
• Low-rank tensor regression for selection of grouped variables
• Characterizing the SLOPE trade-off: a variational perspective and the Donoho-Tanner limit
• Safe Rules for the Identification of Zeros in the Solutions of the SLOPE Problem
• On the asymptotic properties of SLOPE
• Adaptive Bayesian SLOPE: Model Selection With Incomplete Data

Uses Software

• PLINK
• glasso
• SPGL1

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