Matthias Weber
Title
Prof. Dr.
Last Name
Weber
First name
Matthias
Email
matthias.weber@unisg.ch
ORCID
Phone
+41 71 224 70 76
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Item type:Publication, Regularized regression when covariates are linked on a network: the 3CoSE algorithmCovariates 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.Type:journal articleJournal:Journal of Applied StatisticsVolume:50Issue:3Scopus© Citations 2 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Network-Constrained Covariate Coefficient and Connection Sign EstimationType:working paperVolume:2020Issue:2020/01