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  4. Regularized regression when covariates are linked on a network: the 3CoSE algorithm
 
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Regularized regression when covariates are linked on a network: the 3CoSE algorithm

Journal
Journal of Applied Statistics
ISSN
0266-4763
Date Issued
2023
Author(s)
Weber, Matthias  
Striaukas, Jonas
Schumacher, Martin
Binder, Harald
DOI
10.1080/02664763.2021.1982878
Abstract
Covariates in regressions may be linked to each other on a network. Knowledge of the network structure can be incorporated into regularized regression settings via a network penalty term. However, when it is unknown whether the connection signs in the network are positive (connected covariates reinforce each other) or negative (connected covariates repress each other), the connection signs have to be estimated jointly with the covariate coefficients. This can be done with an algorithm iterating a connection sign estimation step and a covariate coefficient estimation step. We develop such an algorithm, called 3CoSE, and show detailed simulation results and an application forecasting event times. The algorithm performs well in a variety of settings. We also briefly describe the publicly available R-package developed for this purpose.
Language
English
Keywords
Regressions on networks
network penalty
high-dimensional data
machine learning
HSG Classification
contribution to scientific community
HSG Profile Area
SOF - System-wide Risk in the Financial System
Refereed
Yes
Publisher
Taylor & Francis
Volume
50
Number
3
Start page
535
End page
554
Pages
20
Official URL
https://www.tandfonline.com/doi/full/10.1080/02664763.2021.1982878
URL
https://www.alexandria.unisg.ch/handle/20.500.14171/107948
Subject(s)

economics

econometrics

computer science

information managemen...

finance

statistics

Division(s)

s/bf - Swiss Institut...

SoF - School of Finan...

Eprints ID
269644
File(s)
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WSSB 2023 J Appl Stat network regressions.pdf

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1.75 MB

Format

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