Date/Time Date(s) - 21/03/20233:30 pm - 5:00 pm
Speaker: S. Ejaz Ahmed, Brock University
Title: Post-shrinkage strategies in high-dimensional data analysis
Abstract: In high-dimensional settings where number of predictors is greater than observations, many penalized regularization strategies were studied for simultaneous variable selection and estimation. However, a model may have sparse signals as well as with number predictors with weak signals. In this scenario variable selection methods may not distinguish predictors with weak signals and sparse signals. The prediction based on a selected submodel may not be preferable in such cases. For this reason, we propose a high-dimensional shrinkage estimation strategy to improve the prediction performance of a submodel. Such a high-dimensional shrinkage estimator (HDSE) is constructed by shrinking a weighted ridge estimator in the direction of a candidate submodel. We demonstrate that the proposed HDSE performs uniformly better than the weighted ridge estimator. Interestingly, it improves the prediction performance of given submodel generated from most existing variable selection methods. The relative performance of the proposed HDSE strategy is appraised by both simulation studies and the real data analysis.
Date/Time: Tuesday March 21, 2023, 3:30 – 5:00
Location: MDCL 1115