A new combined approach for inference in high-dimensional regression models with correlated variables

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Conference Article

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CEUR Workshop Proceedings


We consider the problem of model selection and estimation in sparse high dimensional linear regression models with strongly correlated variables. First, we study the theoretical properties of the dual Lasso solution, and we show that joint consideration of the Lasso primal and its dual solutions are useful for selecting correlated active variables. Second, we argue that correlation among active predictors is not problematic, and we derive a new weaker condition on the design matrix, called Pseudo Irrepresentable Condition (PIC). Third, we present a new variable selection procedure, Dual Lasso Selector, and we show that PIC is a necessary and sufficient condition for consistent variable selection for the proposed method. Finally, by combining the dual Lasso selector further with the Ridge estimation even better prediction performance is achieved. We call the combination, DLSelect+Ridge. We illustrate the DLSelect+Ridge method and compare it with popular existing methods in terms of variable selection and prediction accuracy by considering a real dataset.

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