The predictive Lasso

DOI10.1007/S11222-011-9279-3zbMATH Open1252.62075arXiv1009.2302OpenAlexW1964804880MaRDI QIDQ693339FDOQ693339

Authors: Minh-Ngoc Tran, David J. Nott, Chenlei Leng 

Publication date: 7 December 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: We propose a shrinkage procedure for simultaneous variable selection and estimation in generalized linear models (GLMs) with an explicit predictive motivation. The procedure estimates the coefficients by minimizing the Kullback-Leibler divergence of a set of predictive distributions to the corresponding predictive distributions for the full model, subject to an $l_1$ constraint on the coefficient vector. This results in selection of a parsimonious model with similar predictive performance to the full model. Thanks to its similar form to the original lasso problem for GLMs, our procedure can benefit from available $l_1$-regularization path algorithms. Simulation studies and real-data examples confirm the efficiency of our method in terms of predictive performance on future observations.

Full work available at URL: https://arxiv.org/abs/1009.2302

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zbMATH Keywords

variable selectiongeneralized linear modelsKullback-Leibler divergenceoptimal prediction

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)

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Cited In (14)

• A survey of Bayesian predictive methods for model assessment, selection and comparison
• Prediction Error Property of the Lasso Estimator and its Generalization
• IPF-LASSO: integrative \(L_1\)-penalized regression with penalty factors for prediction based on multi-omics data
• Projective inference in high-dimensional problems: prediction and feature selection
• Comparison of Bayesian predictive methods for model selection
• Lasso–type and Heuristic Strategies in Model Selection and Forecasting
• Improved variable selection with forward-lasso adaptive shrinkage
• A fully Bayesian sparse polynomial chaos expansion approach with joint priors on the coefficients and global selection of terms
• Fast, Optimal, and Targeted Predictions Using Parameterized Decision Analysis
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• Variable selection in generalized linear models.
• Prediction weighted maximum frequency selection
• Estimation, prediction and inference for the LASSO random effects model
• Strong Rules for Discarding Predictors in Lasso-Type Problems

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