統計数学セミナー
Seminar on Probability and Statistics
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Seminar on Probability and Statistics
Friday November 9 2012
Tokyo 006
2:50-4:00 pm


Tuning parameter selection in sparse regression modeling


廣瀬 慧 / HIROSE, Kei
大阪大学大学院基礎工学研究科 / Graduate School of Engineering Science, Osaka University

Abstract

In sparse regression modeling via regularization such as the lasso, it is important to select appropriate values of tuning parameters including regularization parameters. The choice of tuning parameters can be viewed as a model selection and evaluation problem. Mallows' Cp type criteria may be used as a tuning parameter selection tool in lasso type regularization methods, for which the concept of degrees of freedom plays a key role. In this talk, we propose an efficient algorithm that computes the degrees of freedom by extending the generalized path seeking algorithm. Our procedure allows us to construct model selection criteria for evaluating models estimated by regularization with a wide variety of convex and nonconvex penalties. The proposed methodology is investigated through the analysis of real data and Monte Carlo simulations. Numerical results show that Cp criterion based on our algorithm performs well in various situations.




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Seminar on Probability and Statistics