Regression modelling on stratified data with the Lasso

DOI10.1093/BIOMET/ASW065zbMATH Open1506.62456arXiv1508.05476OpenAlexW2962802176MaRDI QIDQ5384445FDOQ5384445

Authors: Edouard Ollier, Vivian Viallon 

Publication date: 24 June 2019

Published in: Biometrika (Search for Journal in Brave)

Abstract: We consider the estimation of regression models on strata defined using a categorical covariate, in order to identify interactions between this categorical covariate and the other predictors. A basic approach requires the choice of a reference stratum. We show that the performance of a penalized version of this approach depends on this arbitrary choice. We propose a refined approach that bypasses this arbitrary choice, at almost no additional computational cost. Regarding model selection consistency, our proposal mimics the strategy based on an optimal and covariate-specific choice for the reference stratum. Results from an empirical study confirm that our proposal generally outperforms the basic approach in the identification and description of the interactions. An illustration on gene expression data is provided.

Full work available at URL: https://arxiv.org/abs/1508.05476

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zbMATH Keywords

Lassomulti-task learningpenalizationeffect modificationstratified analysis

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Ridge regression; shrinkage estimators (Lasso) (62J07) Protein sequences, DNA sequences (92D20)

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