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Activity Number:
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535
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Type:
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Invited
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Date/Time:
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Thursday, August 6, 2009 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Bayesian Statistical Science
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| Abstract - #303165 |
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Title:
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Structured Variable Selection and Estimation
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Author(s):
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Ming Yuan*+
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Companies:
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Georgia Institute of Technology
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Address:
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, , GA, 30332,
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Keywords:
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Effect heredity ; regularization ; quadratic programming ; variable selection
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Abstract:
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In linear regression problems with related predictors, it is desirable to do variable selection and estimation by maintaining the hierarchical or structural relationships among predictors. In this paper, we propose nonnegative garrote methods that can naturally incorporate such relationships defined through effect heredity principles or marginality principles. We show that the methods are very easy to compute and enjoy nice theoretical properties. We also show that the methods can be easily extended to deal with more general regression problems such as generalized linear models. Simulations and real examples are used to illustrate the merits of the proposed methods.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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