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Sparse Modeling of Categorial Explanatory Variables

By Jan Gertheiss and Gerhard Tutz

Abstract

Shrinking methods in regression analysis are usually designed for metric predictors. If independent variables are categorial some modifications are necessary. In this article two L1-penalty based methods for factor selection and clustering of categories are presented and investigated. The first approach is designed for nominal scale levels, the second one for ordinal predictors. All methods are illustrated and compared in simulation studies, and applied to real world data from the Munich rent standard. The paper is a preprint of an article published in The Annals of Applied Statistics. Please use the journal version for citation.

Topics: Technische Reports, ddc:510
Year: 2009
DOI identifier: 10.1214/10-aoas355
OAI identifier: oai:epub.ub.uni-muenchen.de:10625
Provided by: Open Access LMU

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