Localized Regression

The main problem with localized discriminant techniques is the curse of dimensionality, which seems to restrict their use to the case of few variables. This restriction does not hold if localization is combined with a reduction of dimension. In particular it is shown that localization yields powerful classifiers even in higher dimensions if localization is combined with locally adaptive selection of predictors. A robust localized logistic regression (LLR) method is developed for which all tuning parameters are chosen data¡adaptively. In an extended simulation study we evaluate the potential of the proposed procedure for various types of data and compare it to other classification procedures. In addition we demonstrate that automatic choice of localization, predictor selection and penalty parameters based on cross validation is working well. Finally the method is applied to real data sets and its real world performance is compared to alternative procedures

Sparse permutation invariant covariance estimation

The paper proposes a method for constructing a sparse estimator for the inverse covariance (concentration) matrix in high-dimensional settings. The estimator uses a penalized normal likelihood approach and forces sparsity by using a lasso-type penalty. We establish a rate of convergence in the Frobenius norm as both data dimension $p$ and sample size $n$ are allowed to grow, and show that the rate depends explicitly on how sparse the true concentration matrix is. We also show that a correlation-based version of the method exhibits better rates in the operator norm. We also derive a fast iterative algorithm for computing the estimator, which relies on the popular Cholesky decomposition of the inverse but produces a permutation-invariant estimator. The method is compared to other estimators on simulated data and on a real data example of tumor tissue classification using gene expression data.Comment: Published in at http://dx.doi.org/10.1214/08-EJS176 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics (http://www.imstat.org

Feature Selection and Weighting by Nearest Neighbor Ensembles

In the field of statistical discrimination nearest neighbor methods are a well known, quite simple but successful nonparametric classification tool. In higher dimensions, however, predictive power normally deteriorates. In general, if some covariates are assumed to be noise variables, variable selection is a promising approach. The paper’s main focus is on the development and evaluation of a nearest neighbor ensemble with implicit variable selection. In contrast to other nearest neighbor approaches we are not primarily interested in classification, but in estimating the (posterior) class probabilities. In simulation studies and for real world data the proposed nearest neighbor ensemble is compared to an extended forward/backward variable selection procedure for nearest neighbor classifiers, and some alternative well established classification tools (that offer probability estimates as well). Despite its simple structure, the proposed method’s performance is quite good - especially if relevant covariates can be separated from noise variables. Another advantage of the presented ensemble is the easy identification of interactions that are usually hard to detect. So not simply variable selection but rather some kind of feature selection is performed. The paper is a preprint of an article published in Chemometrics and Intelligent Laboratory Systems. Please use the journal version for citation