Variable selection and regularization via arbitrary rectangle-range generalized elastic net

DOI10.1007/S11222-023-10240-4MaRDI QIDQ6172932zbMATH OpenFDO

Authors Yujia Ding, Qidi Peng, Zhengming Song, Hansen Chen

Publication date 20 July 2023

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/2112.07785

zbMATH Keywords

high-dimensional sparse dataindex trackingmultiplicative updatesquadratic programmingrectangle-range generalized elastic net

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: We introduce the arbitrary rectangle-range generalized elastic net penalty method, abbreviated to ARGEN, for performing constrained variable selection and regularization in high-dimensional sparse linear models. As a natural extension of the nonnegative elastic net penalty method, ARGEN is proved to have variable selection consistency and estimation consistency under some conditions. The asymptotic behavior in distribution of the ARGEN estimators have been studied. We also propose an algorithm called MU-QP-RR-W-$l_1$ to efficiently solve ARGEN. By conducting simulation study we show that ARGEN outperforms the elastic net in a number of settings. Finally an application of S&P 500 index tracking with constraints on the stock allocations is performed to provide general guidance for adapting ARGEN to solve real-world problems.

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Cited in

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• Variable selection and collinearity processing for multivariate data via row-elastic-net regularization
• Nonnegative elastic net and application in index tracking
• Regularization and Variable Selection Via the Elastic Net
• Variable selection using axis-aligned random projections for partial least-squares regression
• Adaptive elastic net penalized high-dimensional quantile regression models with generalized coordinate descent algorithm
• Universum support vector machines with elastic net loss and RoBoSS loss
• Robust variable selection procedure with range constraints on the coefficient

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