Extended differential geometric LARS for high-dimensional GLMs with general dispersion parameter

Abstract

A large class of modeling and prediction problems involves outcomes that belong to an exponential family distribution. Generalized linear models (GLMs) are a standard way of dealing with such situations. Even in high-dimensional feature spaces GLMs can be extended to deal with such situations. Penalized inference approaches, such as the \(\ell _1\) or SCAD, or extensions of least angle regression, such as dgLARS, have been proposed to deal with GLMs with high-dimensional feature spaces. Although the theory underlying these methods is in principle generic, the implementation has remained restricted to dispersion-free models, such as the Poisson and logistic regression models. The aim of this manuscript is to extend the differential geometric least angle regression method for high-dimensional GLMs to arbitrary exponential dispersion family distributions with arbitrary link functions. This entails, first, extending the predictor–corrector (PC) algorithm to arbitrary distributions and link functions, and second, proposing an efficient estimator of the dispersion parameter. Furthermore, improvements to the computational algorithm lead to an important speed-up of the PC algorithm. Simulations provide supportive evidence concerning the proposed efficient algorithms for estimating coefficients and dispersion parameter. The resulting method has been implemented in our R package (which will be merged with the original dglars package) and is shown to be an effective method for inference for arbitrary classes of GLMs.

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Notes

  1. 1.

    \( \gamma \ge 0\) is a tuning parameter that controls the size of the coefficients. The increase of \(\gamma \) will shrink the coefficients closer to each other and to zero. In practice, it is usually determined by cross-validation.

  2. 2.

    If n is odd, we can consider \(|n_1-n_2|=1\), and then we randomly apply one of the member of the larger data set to the smaller data set to both have the same dimension, \(n_1=n_2=n/2\).

  3. 3.

    This package is merged into the original package dglars, Augugliaro and Pazira (2017).

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Acknowledgements

We would like to thank the editor and anonymous reviewers for valuable comments which improved the presentation of the paper.

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Correspondence to Hassan Pazira.

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Pazira, H., Augugliaro, L. & Wit, E. Extended differential geometric LARS for high-dimensional GLMs with general dispersion parameter. Stat Comput 28, 753–774 (2018). https://doi.org/10.1007/s11222-017-9761-7

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Keywords

  • High-dimensional inference
  • Generalized linear models
  • Least angle regression
  • Predictor–corrector algorithm
  • Dispersion paremeter