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Generalized co-sparse factor regression

Author

Listed:
  • Mishra, Aditya
  • Dey, Dipak K.
  • Chen, Yong
  • Chen, Kun

Abstract

Multivariate regression techniques are commonly applied to explore the associations between large numbers of outcomes and predictors. In real-world applications, the outcomes are often of mixed types, including continuous measurements, binary indicators, and counts, and the observations may also be incomplete. Building upon the recent advances in mixed-outcome modeling and sparse matrix factorization, generalized co-sparse factor regression (GOFAR) is proposed, which utilizes the flexible vector generalized linear model framework and encodes the outcome dependency through a sparse singular value decomposition (SSVD) of the integrated natural parameter matrix. To avoid the estimation of the notoriously difficult joint SSVD, GOFAR proposes both sequential and parallel unit-rank estimation procedures. By combining the ideas of alternating convex search and majorization–minimization, an efficient algorithm is developed to solve the sparse unit-rank problem and implemented in the R package gofar. Extensive simulation studies and two real-world applications demonstrate the effectiveness of the proposed approach.

Suggested Citation

  • Mishra, Aditya & Dey, Dipak K. & Chen, Yong & Chen, Kun, 2021. "Generalized co-sparse factor regression," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
    • Handle: RePEc:eee:csdana:v:157:y:2021:i:c:s0167947320302188
    DOI: 10.1016/j.csda.2020.107127
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    References listed on IDEAS

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