Stochastic Restricted LASSO-Type Estimator in the Linear Regression Model
Joint Authors
Kayanan, Manickavasagar
Wijekoon, Pushpakanthie
Source
Journal of Probability and Statistics
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-03-30
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
Among several variable selection methods, LASSO is the most desirable estimation procedure for handling regularization and variable selection simultaneously in the high-dimensional linear regression models when multicollinearity exists among the predictor variables.
Since LASSO is unstable under high multicollinearity, the elastic-net (Enet) estimator has been used to overcome this issue.
According to the literature, the estimation of regression parameters can be improved by adding prior information about regression coefficients to the model, which is available in the form of exact or stochastic linear restrictions.
In this article, we proposed a stochastic restricted LASSO-type estimator (SRLASSO) by incorporating stochastic linear restrictions.
Furthermore, we compared the performance of SRLASSO with LASSO and Enet in root mean square error (RMSE) criterion and mean absolute prediction error (MAPE) criterion based on a Monte Carlo simulation study.
Finally, a real-world example was used to demonstrate the performance of SRLASSO.
American Psychological Association (APA)
Kayanan, Manickavasagar& Wijekoon, Pushpakanthie. 2020. Stochastic Restricted LASSO-Type Estimator in the Linear Regression Model. Journal of Probability and Statistics،Vol. 2020, no. 2020, pp.1-7.
https://search.emarefa.net/detail/BIM-1190181
Modern Language Association (MLA)
Kayanan, Manickavasagar& Wijekoon, Pushpakanthie. Stochastic Restricted LASSO-Type Estimator in the Linear Regression Model. Journal of Probability and Statistics No. 2020 (2020), pp.1-7.
https://search.emarefa.net/detail/BIM-1190181
American Medical Association (AMA)
Kayanan, Manickavasagar& Wijekoon, Pushpakanthie. Stochastic Restricted LASSO-Type Estimator in the Linear Regression Model. Journal of Probability and Statistics. 2020. Vol. 2020, no. 2020, pp.1-7.
https://search.emarefa.net/detail/BIM-1190181
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1190181