The Annals of Statistics

Faithful variable screening for high-dimensional convex regression

Min Xu, Minhua Chen, and John Lafferty

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Abstract

We study the problem of variable selection in convex nonparametric regression. Under the assumption that the true regression function is convex and sparse, we develop a screening procedure to select a subset of variables that contains the relevant variables. Our approach is a two-stage quadratic programming method that estimates a sum of one-dimensional convex functions, followed by one-dimensional concave regression fits on the residuals. In contrast to previous methods for sparse additive models, the optimization is finite dimensional and requires no tuning parameters for smoothness. Under appropriate assumptions, we prove that the procedure is faithful in the population setting, yielding no false negatives. We give a finite sample statistical analysis, and introduce algorithms for efficiently carrying out the required quadratic programs. The approach leads to computational and statistical advantages over fitting a full model, and provides an effective, practical approach to variable screening in convex regression.

Article information

Source
Ann. Statist., Volume 44, Number 6 (2016), 2624-2660.

Dates
Received: November 2014
Revised: December 2015
First available in Project Euclid: 23 November 2016

Permanent link to this document
https://projecteuclid.org/euclid.aos/1479891630

Digital Object Identifier
doi:10.1214/15-AOS1425

Mathematical Reviews number (MathSciNet)
MR3576556

Zentralblatt MATH identifier
1360.62197

Subjects
Primary: 62G08: Nonparametric regression
Secondary: 52A41: Convex functions and convex programs [See also 26B25, 90C25]

Keywords
Nonparametric regression convex regression variable selection quadratic programming additive model

Citation

Xu, Min; Chen, Minhua; Lafferty, John. Faithful variable screening for high-dimensional convex regression. Ann. Statist. 44 (2016), no. 6, 2624--2660. doi:10.1214/15-AOS1425. https://projecteuclid.org/euclid.aos/1479891630


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Supplemental materials

  • Supplement to “Faithful variable screening for high-dimensional convex regression”. The supplement provides detailed proofs of certain technical results, together with further explanation of the Gaussian example and simplifications when the density is a product.