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Variable Selection Incorporating Prior Constraint Information into Lasso
Song, Shurong Zheng; Guodong
Shi, Ning-Zhong
Location: http://arxiv.org/abs/0705.4588

We propose the variable selection procedure incorporating prior constraint information into lasso. The proposed procedure combines the sample and prior information, and selects significant variables for responses in a narrower region where the true parameters lie. It increases the efficiency to choose the true model correctly. The proposed procedure can be executed by many constrained quadratic programming methods and the initial estimator can be found by least square or Monte Carlo method. The proposed procedure also enjoys good theoretical properties. Moreover, the proposed procedure is not only used for linear models but also can be used for generalized linear models({\sl GLM}), Cox models, quantile regression models and many others with the help of Wang and Leng (2007)'s LSA, which changes these models as the approximation of linear models. The idea of combining sample and prior constraint information can be also used for other modified lasso procedures. Some examples are used for illustration of the idea of incorporating prior constraint information in variable selection procedures.

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Detalles del recurso

Variable Selection Incorporating Prior Constraint Information into Lasso
Id. 25663075
Titulo Variable Selection Incorporating Prior Constraint Information into Lasso
Autor(es) Song, Shurong Zheng; Guodong
Shi, Ning-Zhong
Location http://arxiv.org/abs/0705.4588
Versión 1.0
Estado Final
Descripción We propose the variable selection procedure incorporating prior constraint information into lasso. The proposed procedure combines the sample and prior information, and selects significant variables for responses in a narrower region where the true parameters lie. It increases the efficiency to choose the true model correctly. The proposed procedure can be executed by many constrained quadratic programming methods and the initial estimator can be found by least square or Monte Carlo method. The proposed procedure also enjoys good theoretical properties. Moreover, the proposed procedure is not only used for linear models but also can be used for generalized linear models({\sl GLM}), Cox models, quantile regression models and many others with the help of Wang and Leng (2007)'s LSA, which changes these models as the approximation of linear models. The idea of combining sample and prior constraint information can be also used for other modified lasso procedures. Some examples are used for illustration of the idea of incorporating prior constraint information in variable selection procedures.
Palabras clave Statistics - Methodology
Tipo de recurso Texto Narrativo
Tipo de Interactividad Expositivo
Nivel de Interactividad muy bajo
Audiencia Estudiante
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Estructura Atomic
Coste no
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Requerimientos técnicos Browser: Any
Fecha de contribución 26-jun-2007
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