Penalized estimation in additive varying coefficient models using grouped regularization
Résumé
Additive varying coefficient models are a natural extension of multiple linear regression models, allowing the regression coefficients to be functions of other variables. Therefore these models are more flexible to model more complex dependencies in data structures. In this paper we consider the problem of selecting in an automatic way the significant variables among a large set of variables, when the interest is on a given response variable. In recent years several grouped regularization methods have been proposed and in this paper we present these under one unified framework in this varying coefficient model context. For each of the discussed grouped regularization methods we investigate the optimization problem to be solved, possible algorithms for doing so, and the variable and estimation consistency of the methods. We investigate the finite-sample performance of these methods, in a comparative study, and illustrate them on real data examples.