Sparse covariance thresholding for high-dimensional variable selection
From MaRDI portal
Abstract: In high-dimensions, many variable selection methods, such as the lasso, are often limited by excessive variability and rank deficiency of the sample covariance matrix. Covariance sparsity is a natural phenomenon in high-dimensional applications, such as microarray analysis, image processing, etc., in which a large number of predictors are independent or weakly correlated. In this paper, we propose the covariance-thresholded lasso, a new class of regression methods that can utilize covariance sparsity to improve variable selection. We establish theoretical results, under the random design setting, that relate covariance sparsity to variable selection. Real-data and simulation examples indicate that our method can be useful in improving variable selection performances.
Recommendations
Cited in
(18)- Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models
- Variable selection in multivariate linear models with high-dimensional covariance matrix estimation
- High-dimensional mean estimation via \(\ell_1\) penalized normal likelihood
- Selection of sparse vine copulas in high dimensions with the Lasso
- Penalized estimation equation for an extended single-index model
- Covariance selection by thresholding the sample correlation matrix
- High-dimensional graphs and variable selection with the Lasso
- Sharp variable selection of a sparse submatrix in a high-dimensional noisy matrix
- Partial Factor Modeling: Predictor-Dependent Shrinkage for Linear Regression
- High-dimensional variable selection with sparse random projections: measurement sparsity and statistical efficiency
- Regularizing LASSO: a consistent variable selection method
- Prediction in abundant high-dimensional linear regression
- Covariate assisted screening and estimation
- Dimension-wise sparse low-rank approximation of a matrix with application to variable selection in high-dimensional integrative analyzes of association
- Optimal sparse linear prediction for block-missing multi-modality data without imputation
- Generalized thresholding of large covariance matrices
- Structured Lasso for regression with matrix covariates
- Robust and sparse Gaussian graphical modelling under cell-wise contamination
This page was built for publication: Sparse covariance thresholding for high-dimensional variable selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2999743)
