Homogeneity Pursuit
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Publication:5367355
DOI10.1080/01621459.2014.892882zbMATH Open1373.62345arXiv1303.7409OpenAlexW4248244593WikidataQ35735862 ScholiaQ35735862MaRDI QIDQ5367355FDOQ5367355
Jianqing Fan, Yichao Wu, Zheng Tracy Ke
Publication date: 13 October 2017
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Abstract: This paper explores the homogeneity of coefficients in high-dimensional regression, which extends the sparsity concept and is more general and suitable for many applications. Homogeneity arises when one expects regression coefficients corresponding to neighboring geographical regions or a similar cluster of covariates to be approximately the same. Sparsity corresponds to a special case of homogeneity with a known atom zero. In this article, we propose a new method called clustering algorithm in regression via data-driven segmentation (CARDS) to explore homogeneity. New mathematics are provided on the gain that can be achieved by exploring homogeneity. Statistical properties of two versions of CARDS are analyzed. In particular, the asymptotic normality of our proposed CARDS estimator is established, which reveals better estimation accuracy for homogeneous parameters than that without homogeneity exploration. When our methods are combined with sparsity exploration, further efficiency can be achieved beyond the exploration of sparsity alone. This provides additional insights into the power of exploring low-dimensional strucuture in high-dimensional regression: homogeneity and sparsity. The newly developed method is further illustrated by simulation studies and applications to real data.
Full work available at URL: https://arxiv.org/abs/1303.7409
Classification and discrimination; cluster analysis (statistical aspects) (62H30) General nonlinear regression (62J02)
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