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Least squares approximation with a diverging number of parameters

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  • Leng, Chenlei
  • Li, Bo

Abstract

Regularized regression with the l1 penalty is a popular approach for variable selection and coefficient estimation. For a unified treatment of the l1-constrained model selection, Wang and Leng (2007) proposed the least squares approximation method (LSA) for a fixed dimension. LSA makes use of a quadratic expansion of the loss function and takes full advantage of the fast Lasso algorithm in Efron et al. (2004). In this paper, we extend the fixed dimension LSA to the situation with a diverging number of parameters. We show that LSA possesses the oracle properties under appropriate conditions when the number of variables grows with the sample size. We propose a new tuning parameter selection method which achieves the oracle properties. Extensive simulation studies confirmed the theoretical results.

Suggested Citation

  • Leng, Chenlei & Li, Bo, 2010. "Least squares approximation with a diverging number of parameters," Statistics & Probability Letters, Elsevier, vol. 80(3-4), pages 254-261, February.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:3-4:p:254-261
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    References listed on IDEAS

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    1. Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
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    3. Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
    4. Hansheng Wang & Bo Li & Chenlei Leng, 2009. "Shrinkage tuning parameter selection with a diverging number of parameters," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(3), pages 671-683, June.
    5. Hansheng Wang & Guodong Li & Chih‐Ling Tsai, 2007. "Regression coefficient and autoregressive order shrinkage and selection via the lasso," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(1), pages 63-78, February.
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    7. Zou, Hui, 2006. "The Adaptive Lasso and Its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1418-1429, December.
    8. Wang, Hansheng & Leng, Chenlei, 2007. "Unified LASSO Estimation by Least Squares Approximation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1039-1048, September.
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    Cited by:

    1. Lee, Sangin & Kim, Yongdai & Kwon, Sunghoon, 2012. "Quadratic approximation for nonconvex penalized estimations with a diverging number of parameters," Statistics & Probability Letters, Elsevier, vol. 82(9), pages 1710-1717.
    2. Yang, Hu & Guo, Chaohui & Lv, Jing, 2015. "SCAD penalized rank regression with a diverging number of parameters," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 321-333.
    3. Ciuperca, Gabriela, 2021. "Variable selection in high-dimensional linear model with possibly asymmetric errors," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).

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