VARIABLE SELECTION IN HIGH-DIMENSIONAL MODELING
Runze Li
Department of Statistics
The Pennsylvania State University
 
Monday, September 26, 2005
4:10 p.m.
E203 Engineering Building

ABSTRACT

Variable selection is fundamental to high-dimensional statistical modeling. Many variable selection techniques may be implemented by maximum penalized likelihood using various penalty functions. Optimizing the penalized likelihood function is often challenging. Fan and Li (2001, JASA) proposed variable selection via nonconcave penalized likelihood and further proposed local quadratic approximation algorithm to deal with computational issues in optimization of nonconcave penalized likelihood. However, the convergence property of the local quadratic approximation algorithm hasn't been studied yet. I will try to address this issue in this presentation.

I first give an overview of nonconcave penalized likelihood methodology. Then I propose a new class of algorithms for finding a maximizer of the penalized likelihood for a broad class of penalty functions. These algorithms operate by perturbing the penalty function slightly to render it differentiable, then optimizing this differentiable function using a minorize-maximize (MM) algorithm. MM algorithms are useful extensions of the well-known class of EM algorithms, a fact that allows us to analyze the local and global convergence of the proposed algorithm using some of the techniques employed for EM algorithms. In particular, we prove that when our MM algorithms converge, they must converge to a desirable point; we also discuss conditions under which this convergence may be guaranteed. We exploit the Newton-Raphson-like aspect of these algorithms to propose a sandwich estimator for the standard errors of the estimators. Our method performs well in numerical tests.

[Refereshments will be served at 3:45 pm in Room 008 Statistics]



 

 


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