"Preconditioning" for feature selection and regression in high-dimensional problems

Debashis Paul, Eric Bair, Trevor Hastie, Robert Tibshirani
2008 Annals of Statistics  
We consider regression problems where the number of predictors greatly exceeds the number of observations. We propose a method for variable selection that first estimates the regression function, yielding a "pre-conditioned" response variable. The primary method used for this initial regression is supervised principal components. Then we apply a standard procedure such as forward stepwise selection or the LASSO to the pre-conditioned response variable. In a number of simulated and real data
more » ... d and real data examples, this two-step procedure outperforms forward stepwise selection or the usual LASSO (applied directly to the raw outcome). We also show that under a certain Gaussian latent variable model, application of the LASSO to the pre-conditioned response variable is consistent as the number of predictors and observations increases. Moreover, when the observational noise is rather large, the suggested procedure can give a more accurate estimate than LASSO. We illustrate our method on some real problems, including survival analysis with microarray data.
doi:10.1214/009053607000000578 fatcat:x43ufjvu6zh37bqsatkpz5m74y