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2018 Selection by partitioning the solution paths
Yang Liu, Peng Wang
Electron. J. Statist. 12(1): 1988-2017 (2018). DOI: 10.1214/18-EJS1434

Abstract

The performance of penalized likelihood approaches depends profoundly on the selection of the tuning parameter; however, there is no commonly agreed-upon criterion for choosing the tuning parameter. Moreover, penalized likelihood estimation based on a single value of the tuning parameter suffers from several drawbacks. This article introduces a novel approach for feature selection based on the entire solution paths rather than the choice of a single tuning parameter, which significantly improves the accuracy of the selection. Moreover, the approach allows for feature selection using ridge or other strictly convex penalties. The key idea is to classify variables as relevant or irrelevant at each tuning parameter and then to select all of the variables which have been classified as relevant at least once. We establish the theoretical properties of the method, which requires significantly weaker conditions than existing methods in the literature. We also illustrate the advantages of the proposed approach with simulation studies and a data example.

Citation

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Yang Liu. Peng Wang. "Selection by partitioning the solution paths." Electron. J. Statist. 12 (1) 1988 - 2017, 2018. https://doi.org/10.1214/18-EJS1434

Information

Received: 1 January 2018; Published: 2018
First available in Project Euclid: 18 June 2018

zbMATH: 06917429
MathSciNet: MR3815303
Digital Object Identifier: 10.1214/18-EJS1434

Subjects:
Primary: 62F07
Secondary: 62J07, 62J86

JOURNAL ARTICLE
30 PAGES


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Vol.12 • No. 1 • 2018
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