Dataset Information

Confidence Intervals for Sparse Penalized Regression with Random Designs.

ABSTRACT: With the abundance of large data, sparse penalized regression techniques are commonly used in data analysis due to the advantage of simultaneous variable selection and estimation. A number of convex as well as non-convex penalties have been proposed in the literature to achieve sparse estimates. Despite intense work in this area, how to perform valid inference for sparse penalized regression with a general penalty remains to be an active research problem. In this paper, by making use of state-of-the-art optimization tools in stochastic variational inequality theory, we propose a unified framework to construct confidence intervals for sparse penalized regression with a wide range of penalties, including convex and non-convex penalties. We study the inference for parameters under the population version of the penalized regression as well as parameters of the underlying linear model. Theoretical convergence properties of the proposed method are obtained. Several simulated and real data examples are presented to demonstrate the validity and effectiveness of the proposed inference procedure.

SUBMITTER: Yu G

PROVIDER: S-EPMC7716883 | biostudies-literature | 2020

REPOSITORIES: biostudies-literature

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Publications

Confidence Intervals for Sparse Penalized Regression with Random Designs.

Yu Guan G Yin Liang L Lu Shu S Liu Yufeng Y

Journal of the American Statistical Association 20190507 530

With the abundance of large data, sparse penalized regression techniques are commonly used in data analysis due to the advantage of simultaneous variable selection and estimation. A number of convex as well as non-convex penalties have been proposed in the literature to achieve sparse estimates. Despite intense work in this area, how to perform valid inference for sparse penalized regression with a general penalty remains to be an active research problem. In this paper, by making use of state-of ...[more]

PMID: 33281249

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Project description:This paper concerns the folded concave penalized sparse linear regression (FCPSLR), a class of popular sparse recovery methods. Although FCPSLR yields desirable recovery performance when solved globally, computing a global solution is NP-complete. Despite some existing statistical performance analyses on local minimizers or on specific FCPSLR-based learning algorithms, it still remains open questions whether local solutions that are known to admit fully polynomial-time approximation schemes (FPTAS) may already be sufficient to ensure the statistical performance, and whether that statistical performance can be non-contingent on the specific designs of computing procedures. To address the questions, this paper presents the following threefold results: (i) Any local solution (stationary point) is a sparse estimator, under some conditions on the parameters of the folded concave penalties. (ii) Perhaps more importantly, any local solution satisfying a significant subspace second-order necessary condition (S3ONC), which is weaker than the second-order KKT condition, yields a bounded error in approximating the true parameter with high probability. In addition, if the minimal signal strength is sufficient, the S3ONC solution likely recovers the oracle solution. This result also explicates that the goal of improving the statistical performance is consistent with the optimization criteria of minimizing the suboptimality gap in solving the non-convex programming formulation of FCPSLR. (iii) We apply (ii) to the special case of FCPSLR with minimax concave penalty (MCP) and show that under the restricted eigenvalue condition, any S3ONC solution with a better objective value than the Lasso solution entails the strong oracle property. In addition, such a solution generates a model error (ME) comparable to the optimal but exponential-time sparse estimator given a sufficient sample size, while the worst-case ME is comparable to the Lasso in general. Furthermore, to guarantee the S3ONC admits FPTAS.

Project description:In the analysis of networks we frequently require the statistical significance of some network statistic, such as measures of similarity for the properties of interacting nodes. The structure of the network may introduce dependencies among the nodes and it will in general be necessary to account for these dependencies in the statistical analysis. To this end we require some form of Null model of the network: generally rewired replicates of the network are generated which preserve only the degree (number of interactions) of each node. We show that this can fail to capture important features of network structure, and may result in unrealistic significance levels, when potentially confounding additional information is available.We present a new network resampling Null model which takes into account the degree sequence as well as available biological annotations. Using gene ontology information as an illustration we show how this information can be accounted for in the resampling approach, and the impact such information has on the assessment of statistical significance of correlations and motif-abundances in the Saccharomyces cerevisiae protein interaction network. An algorithm, GOcardShuffle, is introduced to allow for the efficient construction of an improved Null model for network data.We use the protein interaction network of S. cerevisiae; correlations between the evolutionary rates and expression levels of interacting proteins and their statistical significance were assessed for Null models which condition on different aspects of the available data. The novel GOcardShuffle approach results in a Null model for annotated network data which appears better to describe the properties of real biological networks.An improved statistical approach for the statistical analysis of biological network data, which conditions on the available biological information, leads to qualitatively different results compared to approaches which ignore such annotations. In particular we demonstrate the effects of the biological organization of the network can be sufficient to explain the observed similarity of interacting proteins.

Dataset Information

Confidence Intervals for Sparse Penalized Regression with Random Designs.

Publications

Confidence Intervals for Sparse Penalized Regression with Random Designs.

Similar Datasets

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