On the oracle property of a generalized adaptive elastic-net for multivariate linear regression with a diverging number of parameters

doi:10.1016/j.jmva.2017.08.005

CORC > 上海财经大学 > 上海财经大学

	On the oracle property of a generalized adaptive elastic-net for multivariate linear regression with a diverging number of parameters
	Xin, Xin 1; Hu, Jianhua 2,3; Liu, Liangyuan 2,3
刊名	JOURNAL OF MULTIVARIATE ANALYSIS
	2017-11
卷号	162 页码:16-31
关键词	Generalized adaptive elastic-net Group variable selection Multivariate linear regression Oracle property
ISSN号	0047-259X
DOI	10.1016/j.jmva.2017.08.005
英文摘要	In this paper, we examine the problem of variable selection and coefficient estimation in multivariate linear regression with a diverging number of parameters. We propose a generalized adaptive elastic-net method that integrates elastic-net regularization, adaptively weighted penalty, and covariance of errors. Under some weak regularity conditions, we establish the oracle property of generalized adaptive elastic-net estimators. We also present an algorithm based on the subgradient method to solve the generalized adaptive elastic-net estimation. The numerical computation results show that the proposed method has variable selection accuracy that is comparable to those of the existing methods but that it also has more correct-fitting, less over-fitting, and is closest to the oracle estimator in terms of mean squares error. Moreover, we analyze a chemometrics data set to illustrate our methodology. (C) 2017 Elsevier Inc. All rights reserved.
WOS研究方向	Mathematics
语种	英语
出版者	ELSEVIER INC
WOS记录号	WOS:000415662200002
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/852]
专题	上海财经大学
通讯作者	Xin, Xin
作者单位	1.Henan Univ, Sch Math & Stat, Kaifeng, Henan, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China; 3.Shanghai Univ Finance & Econ, Key Lab Math Econ, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Xin, Xin,Hu, Jianhua,Liu, Liangyuan. On the oracle property of a generalized adaptive elastic-net for multivariate linear regression with a diverging number of parameters[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2017,162:16-31.
APA	Xin, Xin,Hu, Jianhua,&Liu, Liangyuan.(2017).On the oracle property of a generalized adaptive elastic-net for multivariate linear regression with a diverging number of parameters.JOURNAL OF MULTIVARIATE ANALYSIS,162,16-31.
MLA	Xin, Xin,et al."On the oracle property of a generalized adaptive elastic-net for multivariate linear regression with a diverging number of parameters".JOURNAL OF MULTIVARIATE ANALYSIS 162(2017):16-31.