Sparse covariance thresholding for high-dimensional variable selection. (English) Zbl 1214.62059
Summary: In high dimensions, variable selection methods such as the lasso are often limited by excessive variability and rank deficiency of the sample covariance matrix. Covariance sparsity is a natural phenomenon in such high-dimensional applications as microarray analysis, image processing, etc., in which a large number of predictors are independent or weakly correlated. We propose the covariance-thresholded lasso, a new class of regression methods that can utilize covariance sparsity to improve variable selection. We establish theoretical results, under the random design setting, that relate covariance sparsity to variable selection. Data and simulations indicate that our method can be useful in improving variable selection performances.
MSC:
62H12 | Estimation in multivariate analysis |
62J05 | Linear regression; mixed models |
65C60 | Computational problems in statistics (MSC2010) |
62F12 | Asymptotic properties of parametric estimators |