Penalized angular regression for personalized predictions

Kristoffer H. Hellton

Scandinavian Journal of Statistics, 2023, vol. 50, issue 1, 184-212

Abstract: Personalization is becoming an important aspect of many predictive applications. We introduce a penalized regression method which inherently implements personalization. Personalized angle (PAN) regression constructs regression coefficients that are specific to the covariate vector for which one is producing a prediction, thus personalizing the regression model itself. This is achieved by penalizing the normalized prediction for a given covariate vector. The method therefore penalizes the normalized regression coefficients, or the angles of the regression coefficients in a hyperspherical parametrization, introducing a new angle‐based class of penalties. PAN hence combines two novel concepts: penalizing the normalized coefficients and personalization. For an orthogonal design matrix, we show that the PAN estimator is the solution to a low‐dimensional eigenvector equation. Based on the hyperspherical parametrization, we construct an efficient algorithm to calculate the PAN estimator. We propose a parametric bootstrap procedure for selecting the tuning parameter, and simulations show that PAN regression can outperform ordinary least squares, ridge regression and other penalized regression methods in terms of prediction error. Finally, we demonstrate the method in a medical application.

Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/sjos.12574

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:50:y:2023:i:1:p:184-212

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0303-6898

Access Statistics for this article

Scandinavian Journal of Statistics is currently edited by ÿrnulf Borgan and Bo Lindqvist

More articles in Scandinavian Journal of Statistics from Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association, Swedish Statistical Association
Bibliographic data for series maintained by Wiley Content Delivery ().