政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/80623

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113318/144297 (79%)
Visitors : 51107083 Online Users : 915

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of International Business > Periodical Articles > Item 140.119/80623

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/80623

Title:	Structured variable selection via prior-induced hierarchical penalty functions
Authors:	Yen, Tso-Jung;Yen, Yu-Min 顏佑銘
Contributors:	國貿系
Keywords:	Group sparsity;Spike and slab priors;Log-sum approximation to the l0l0-norm;Majorization–minimization algorithms;Alternating direction method of multipliers
Date:	2016-04
Issue Date:	2016-01-15 15:44:10 (UTC+8)
Abstract:	The paper studies a grouped variable selection problem in a linear regression setting by proposing a hierarchical penalty function to model collective behavior of the regression coefficients. This hierarchical penalty function consists of two levels. At the top level, it models the group effect of covariates by introducing an index function on the event that the l 2 -norm of the corresponding regression coefficients is not equal to zero. At the bottom level, it models the individual effect of a covariate with an index function on the event that the corresponding regression coefficient is not equal to zero. Under this hierarchical penalty function, model estimation can be conducted by applying an iteration-based numerical procedure to solve a sequence of modified optimization problems. Simulation study shows that the proposed estimator performs relatively well when the number of covariates exceeds the sample size, and when both the true and false covariates are included in the same group. Theoretical analysis suggests that the l 2 estimation error of the proposed estimator can achieve a good upper bound if some regularity conditions are satisfied.
Relation:	Computational Statistics & Data Analysis, 96, 87-103
Data Type:	article
DOI link:	http://dx.doi.org/10.1016/j.csda.2015.10.011
DOI:	10.1016/j.csda.2015.10.011
Appears in Collections:	[Department of International Business] Periodical Articles

Files in This Item:

File	Description	Size	Format
87-103.pdf		937Kb	Adobe PDF2	606	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...