Robust multi-outcome regression with correlated covariate blocks using fused LAD-lasso
Möttönen, Jyrki; Lähderanta, Tero; Salonen, Janne; Sillanpää, Mikko J. (2024-10-11)
Taylor & Francis
11.10.2024
Möttönen, J., Lähderanta, T., Salonen, J., & Sillanpää, M. J. (2024). Robust multi-outcome regression with correlated covariate blocks using fused LAD-lasso. Journal of Applied Statistics, 52(5), 1081–1102. https://doi.org/10.1080/02664763.2024.2414346.
https://creativecommons.org/licenses/by-nc-nd/4.0/
© 2024 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. This is an Open Access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives License(http://creativecommons.org/licenses/by-nc-nd/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium, provided the original work is properly cited, and is not altered, transformed, or built upon in any way. The terms on which this article has been published allow the posting of the Accepted Manuscript in a repository by the author(s) or with their consent.
https://creativecommons.org/licenses/by-nc-nd/4.0/
© 2024 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. This is an Open Access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives License(http://creativecommons.org/licenses/by-nc-nd/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium, provided the original work is properly cited, and is not altered, transformed, or built upon in any way. The terms on which this article has been published allow the posting of the Accepted Manuscript in a repository by the author(s) or with their consent.
https://creativecommons.org/licenses/by-nc-nd/4.0/
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:oulu-202410216394
https://urn.fi/URN:NBN:fi:oulu-202410216394
Tiivistelmä
Abstract
Lasso is a popular and efficient approach to simultaneous estimation and variable selection in high-dimensional regression models. In this paper, a robust fused LAD-lasso method for multiple outcomes is presented that addresses the challenges of non-normal outcome distributions and outlying observations. Measured covariate data from space or time, or spectral bands or genomic positions often have natural correlation structure arising from measuring distance between the covariates. The proposed multi-outcome approach includes handling of such covariate blocks by a group fusion penalty, which encourages similarity between neighboring regression coefficient vectors by penalizing their differences, for example, in sequential data situation. Properties of the proposed approach are illustrated by extensive simulations using BIC-type criteria for model selection. The method is also applied to a real-life skewed data on retirement behavior with longitudinal heteroscedastic explanatory variables.
Lasso is a popular and efficient approach to simultaneous estimation and variable selection in high-dimensional regression models. In this paper, a robust fused LAD-lasso method for multiple outcomes is presented that addresses the challenges of non-normal outcome distributions and outlying observations. Measured covariate data from space or time, or spectral bands or genomic positions often have natural correlation structure arising from measuring distance between the covariates. The proposed multi-outcome approach includes handling of such covariate blocks by a group fusion penalty, which encourages similarity between neighboring regression coefficient vectors by penalizing their differences, for example, in sequential data situation. Properties of the proposed approach are illustrated by extensive simulations using BIC-type criteria for model selection. The method is also applied to a real-life skewed data on retirement behavior with longitudinal heteroscedastic explanatory variables.
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