A Regularization-Based Adaptive Test for High-Dimensional Generalized Linear Models.
J Mach Learn Res
; 212020.
Article
em En
| MEDLINE
| ID: mdl-32802002
ABSTRACT
In spite of its urgent importance in the era of big data, testing high-dimensional parameters in generalized linear models (GLMs) in the presence of high-dimensional nuisance parameters has been largely under-studied, especially with regard to constructing powerful tests for general (and unknown) alternatives. Most existing tests are powerful only against certain alternatives and may yield incorrect Type I error rates under high-dimensional nuisance parameter situations. In this paper, we propose the adaptive interaction sum of powered score (aiSPU) test in the framework of penalized regression with a non-convex penalty, called truncated Lasso penalty (TLP), which can maintain correct Type I error rates while yielding high statistical power across a wide range of alternatives. To calculate its p-values analytically, we derive its asymptotic null distribution. Via simulations, its superior finite-sample performance is demonstrated over several representative existing methods. In addition, we apply it and other representative tests to an Alzheimer's Disease Neuroimaging Initiative (ADNI) data set, detecting possible gene-gender interactions for Alzheimer's disease. We also put R package "aispu" implementing the proposed test on GitHub.
Texto completo:
1
Coleções:
01-internacional
Base de dados:
MEDLINE
Tipo de estudo:
Prognostic_studies
Idioma:
En
Revista:
J Mach Learn Res
Ano de publicação:
2020
Tipo de documento:
Article
País de afiliação:
Estados Unidos