Reduced rank vector generalized linear models for feature extraction

DOI10.4310/SII.2013.V6.N2.A4MaRDI QIDQ897171zbMATH OpenFDO

Authors Yiyuan She

Publication date 17 December 2015

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1007.3098

zbMATH Keywords

generalized linear modelsreduced rank regressionfeature extractionprogressive dimension reductionprojective crossvalidation

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)

Abstract: Supervised linear feature extraction can be achieved by fitting a reduced rank multivariate model. This paper studies rank penalized and rank constrained vector generalized linear models. From the perspective of thresholding rules, we build a framework for fitting singular value penalized models and use it for feature extraction. Through solving the rank constraint form of the problem, we propose progressive feature space reduction for fast computation in high dimensions with little performance loss. A novel projective cross-validation is proposed for parameter tuning in such nonconvex setups. Real data applications are given to show the power of the methodology in supervised dimension reduction and feature extraction.

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Cited in

(10)

• Leveraging mixed and incomplete outcomes via reduced-rank modeling
• Generalized co-sparse factor regression
• A note on rank reduction in sparse multivariate regression
• Rank reduction for high-dimensional generalized additive models
• A general framework for association analysis of heterogeneous data
• Robust subtractive stability measures for fast and exhaustive feature importance ranking and selection in generalised linear models
• Reduced-rank vector generalized linear models with two linear predictors
• Ranked modelling on feature vectors with missing values
• Provable accelerated gradient method for nonconvex low rank optimization
• Reduced-rank vector generalized linear models

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