APPLE: approximate path for penalized likelihood estimators
From MaRDI portal
Publication:746326
DOI10.1007/S11222-013-9403-7zbMATH Open1322.62092arXiv1211.0889OpenAlexW2139509592MaRDI QIDQ746326FDOQ746326
Publication date: 16 October 2015
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: In high-dimensional data analysis, penalized likelihood estimators are shown to provide superior results in both variable selection and parameter estimation. A new algorithm, APPLE, is proposed for calculating the Approximate Path for Penalized Likelihood Estimators. Both the convex penalty (such as LASSO) and the nonconvex penalty (such as SCAD and MCP) cases are considered. The APPLE efficiently computes the solution path for the penalized likelihood estimator using a hybrid of the modified predictor-corrector method and the coordinate-descent algorithm. APPLE is compared with several well-known packages via simulation and analysis of two gene expression data sets.
Full work available at URL: https://arxiv.org/abs/1211.0889
Recommendations
- Paths Following Algorithm for Penalized Logistic Regression Using SCAD and MCP
- Penalized likelihood regression: General formulation and efficient approximation
- One-step sparse estimates in nonconcave penalized likelihood models
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- \(L_{1}\) penalized estimation in the Cox proportional hazards model
Cites Work
- Coordinate descent algorithms for nonconvex penalized regression, with applications to biological feature selection
- Nearly unbiased variable selection under minimax concave penalty
- Estimating the dimension of a model
- Least angle regression. (With discussion)
- Pathwise coordinate optimization
- Coordinate descent algorithms for lasso penalized regression
- Extended Bayesian information criteria for model selection with large model spaces
- Understanding WaveShrink: variance and bias estimation
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Title not available (Why is that?)
- Some Comments on C P
- One-step sparse estimates in nonconcave penalized likelihood models
- High-dimensional generalized linear models and the lasso
- Title not available (Why is that?)
- Piecewise linear regularized solution paths
- A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
- The Group Lasso for Logistic Regression
- L 1-Regularization Path Algorithm for Generalized Linear Models
- The sparsity and bias of the LASSO selection in high-dimensional linear regression
- Risk bounds for model selection via penalization
- A new approach to variable selection in least squares problems
- Classification of gene microarrays by penalized logistic regression
- Title not available (Why is that?)
- An iterative thresholding algorithm for linear inverse problems with a sparsity constraint
- An interior-point method for large-scale \(l_1\)-regularized logistic regression
- Group coordinate descent algorithms for nonconvex penalized regression
- Correction: Strong oracle optimality of folded concave penalized estimation
- An ordinary differential equation-based solution path algorithm
- Efficient global approximation of generalized nonlinear \(\ell _{1}\)-regularized solution paths and its applications
- Likelihood adaptively modified penalties
Cited In (5)
- Model selection for high-dimensional quadratic regression via regularization
- An alternating direction method of multipliers for MCP-penalized regression with high-dimensional data
- Likelihood adaptively modified penalties
- APPLE
- Penalized likelihood regression: General formulation and efficient approximation
Uses Software
This page was built for publication: APPLE: approximate path for penalized likelihood estimators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q746326)
