Hierarchical selection of variables in sparse high-dimensional regression
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Publication:6208044
arXiv0801.1158MaRDI QIDQ6208044FDOQ6208044
Alexandre B. Tsybakov, P. J. Bickel, Yaacov Ritov
Publication date: 8 January 2008
Abstract: We study a regression model with a huge number of interacting variables. We consider a specific approximation of the regression function under two ssumptions: (i) there exists a sparse representation of the regression function in a suggested basis, (ii) there are no interactions outside of the set of the corresponding main effects. We suggest an hierarchical randomized search procedure for selection of variables and of their interactions. We show that given an initial estimator, an estimator with a similar prediction loss but with a smaller number of non-zero coordinates can be found.
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