Abstract Details
Activity Number:
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31
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Type:
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Contributed
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Date/Time:
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Sunday, August 9, 2015 : 2:00 PM to 3:50 PM
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Sponsor:
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Section on Nonparametric Statistics
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Abstract #316387
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View Presentation
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Title:
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Fused Lasso Additive Model
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Author(s):
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Ashley Petersen* and Daniela Witten and Noah Simon
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Companies:
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University of Washington and University of Washington and University of Washington
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Keywords:
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feature selection ;
high-dimensional ;
non-parametric regression ;
piecewise constant ;
sparsity
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Abstract:
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We consider the problem of predicting an outcome variable using p covariates that are measured on n independent observations, in the setting in which flexible and interpretable fits are desirable. We propose the fused lasso additive model (FLAM), in which each additive function is estimated to be piecewise constant with a small number of adaptively-chosen knots. FLAM is the solution to a convex optimization problem, for which a simple algorithm with guaranteed convergence to a global optimum is provided. FLAM is shown to be consistent in high dimensions, and an unbiased estimator of its degrees of freedom is proposed. We evaluate the performance of FLAM in a simulation study and on a data set.
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Authors who are presenting talks have a * after their name.
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