Penalized Linear Regression Methods where the Predictors Have Grouping Effect

Authors

  • Kanyalin Jiratchayut Faculty of Science and Arts, Burapha University, Chanthaburi Campus, Tha-Mai, Chanthaburi, Thailand
  • Chinnaphong Bumrungsup Department of Mathematics and Statistics, Faculty of Science and Technology, Thammasat University, Pathum Thani, Thailand

Keywords:

Adaptive elastic net, correlation based penalty, elastic net, SCAD-L2, variable selection

Abstract

The aim of this paper is to study the performance of four different penalized linear regression methods: elastic net, adaptive elastic net, L1CP, and SCAD-L2.Simulation studies show that the adaptive elastic net performs best in variable selection and parameter estimation, while the SCAD-L2 has prediction accuracy better than the other methods. When sample size is large, the L1CP has a prediction performance close to the prediction accuracy of the SCAD-L2.

Downloads

Published

2019-07-10

How to Cite

Jiratchayut, K., & Bumrungsup, C. (2019). Penalized Linear Regression Methods where the Predictors Have Grouping Effect. Thailand Statistician, 17(2), 212–222. Retrieved from https://ph02.tci-thaijo.org/index.php/thaistat/article/view/202296

Issue

Vol. 17 No. 2 (2019): July

Section

Articles