Semi-automated simultaneous predictor selection for regression-SARIMA models

DOI10.1007/S11222-020-09970-6MaRDI QIDQ2209736zbMATH OpenOpenAlexFDO

Authors Aaron P. Lowther, Paul Fearnhead, M. A. Nunes, Kjeld Knudsen Jensen

Publication date 4 November 2020

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2001.02883

zbMATH Keywords

best subset selectionlinear regressionmixed integer quadratic optimisationmultivariate response model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Deciding which predictors to use plays an integral role in deriving statistical models in a wide range of applications. Motivated by the challenges of predicting events across a telecommunications network, we propose a semi-automated, joint model-fitting and predictor selection procedure for linear regression models. Our approach can model and account for serial correlation in the regression residuals, produces sparse and interpretable models and can be used to jointly select models for a group of related responses. This is achieved through fitting linear models under constraints on the number of non-zero coefficients using a generalisation of a recently developed Mixed Integer Quadratic Optimisation approach. The resultant models from our approach achieve better predictive performance on the motivating telecommunications data than methods currently used by industry.

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Cited in

(2)

• Automated Selection of Post-Strata using a Model-Assisted Regression Tree Estimator
• Robust statistical processing of long-time data series to estimate soil water content

Describes a project that uses

Uses Software

• R
• Gurobi
• forecast
• Forecast
• elasticnet
• ElemStatLearn
• itsmr
• L0Learn

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