Regularization methods for high-dimensional instrumental variables regression with an application to genetical genomics
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Publication:5367363
DOI10.1080/01621459.2014.908125zbMATH Open1373.62371arXiv1304.7829OpenAlexW2053976128WikidataQ36069805 ScholiaQ36069805MaRDI QIDQ5367363FDOQ5367363
Authors: Wei Lin, Rui Feng, Hongzhe Li 
Publication date: 13 October 2017
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Abstract: In genetical genomics studies, it is important to jointly analyze gene expression data and genetic variants in exploring their associations with complex traits, where the dimensionality of gene expressions and genetic variants can both be much larger than the sample size. Motivated by such modern applications, we consider the problem of variable selection and estimation in high-dimensional sparse instrumental variables models. To overcome the difficulty of high dimensionality and unknown optimal instruments, we propose a two-stage regularization framework for identifying and estimating important covariate effects while selecting and estimating optimal instruments. The methodology extends the classical two-stage least squares estimator to high dimensions by exploiting sparsity using sparsity-inducing penalty functions in both stages. The resulting procedure is efficiently implemented by coordinate descent optimization. For the representative regularization and a class of concave regularization methods, we establish estimation, prediction, and model selection properties of the two-stage regularized estimators in the high-dimensional setting where the dimensionality of covariates and instruments are both allowed to grow exponentially with the sample size. The practical performance of the proposed method is evaluated by simulation studies and its usefulness is illustrated by an analysis of mouse obesity data. Supplementary materials for this article are available online.
Full work available at URL: https://arxiv.org/abs/1304.7829
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