6,089 research outputs found
Piecewise linear regularized solution paths
We consider the generic regularized optimization problem
. Efron, Hastie,
Johnstone and Tibshirani [Ann. Statist. 32 (2004) 407--499] have shown that for
the LASSO--that is, if is squared error loss and is
the norm of --the optimal coefficient path is piecewise linear,
that is, is piecewise
constant. We derive a general characterization of the properties of (loss ,
penalty ) pairs which give piecewise linear coefficient paths. Such pairs
allow for efficient generation of the full regularized coefficient paths. We
investigate the nature of efficient path following algorithms which arise. We
use our results to suggest robust versions of the LASSO for regression and
classification, and to develop new, efficient algorithms for existing problems
in the literature, including Mammen and van de Geer's locally adaptive
regression splines.Comment: Published at http://dx.doi.org/10.1214/009053606000001370 in the
Annals of Statistics (http://www.imstat.org/aos/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Effective Genetic Risk Prediction Using Mixed Models
To date, efforts to produce high-quality polygenic risk scores from
genome-wide studies of common disease have focused on estimating and
aggregating the effects of multiple SNPs. Here we propose a novel statistical
approach for genetic risk prediction, based on random and mixed effects models.
Our approach (termed GeRSI) circumvents the need to estimate the effect sizes
of numerous SNPs by treating these effects as random, producing predictions
which are consistently superior to current state of the art, as we demonstrate
in extensive simulation. When applying GeRSI to seven phenotypes from the WTCCC
study, we confirm that the use of random effects is most beneficial for
diseases that are known to be highly polygenic: hypertension (HT) and bipolar
disorder (BD). For HT, there are no significant associations in the WTCCC data.
The best existing model yields an AUC of 54%, while GeRSI improves it to 59%.
For BD, using GeRSI improves the AUC from 55% to 62%. For individuals ranked at
the top 10% of BD risk predictions, using GeRSI substantially increases the BD
relative risk from 1.4 to 2.5.Comment: main text: 14 pages, 3 figures. Supplementary text: 16 pages, 21
figure
- …