Penalized Composite Quasi-Likelihood for Ultrahigh-Dimensional Variable Selection
TLDR
A data‐driven weighted linear combination of convex loss functions, together with weighted L1‐penalty is proposed and established a strong oracle property of the method proposed that has both the model selection consistency and estimation efficiency for the true non‐zero coefficients.Abstract:
In high-dimensional model selection problems, penalized least-square approaches have been extensively used. This paper addresses the question of both robustness and efficiency of penalized model selection methods, and proposes a data-driven weighted linear combination of convex loss functions, together with weighted L1-penalty. It is completely data-adaptive and does not require prior knowledge of the error distribution. The weighted L1-penalty is used both to ensure the convexity of the penalty term and to ameliorate the bias caused by the L1-penalty. In the setting with dimensionality much larger than the sample size, we establish a strong oracle property of the proposed method that possesses both the model selection consistency and estimation efficiency for the true non-zero coefficients. As specific examples, we introduce a robust method of composite L1-L2, and optimal composite quantile method and evaluate their performance in both simulated and real data examples.read more
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References
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TL;DR: A new version of the lasso is proposed, called the adaptive lasso, where adaptive weights are used for penalizing different coefficients in the ℓ1 penalty, and the nonnegative garotte is shown to be consistent for variable selection.
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Robust Estimation of a Location Parameter
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