Generalized co-sparse factor regression

Aditya Mishra, Dipak K. Dey, Yong Chen and Kun Chen

Computational Statistics & Data Analysis, 2021, vol. 157, issue C

Abstract: Multivariate regression techniques are commonly applied to explore the associations between large numbers of outcomes and predictors. In real-world applications, the outcomes are often of mixed types, including continuous measurements, binary indicators, and counts, and the observations may also be incomplete. Building upon the recent advances in mixed-outcome modeling and sparse matrix factorization, generalized co-sparse factor regression (GOFAR) is proposed, which utilizes the flexible vector generalized linear model framework and encodes the outcome dependency through a sparse singular value decomposition (SSVD) of the integrated natural parameter matrix. To avoid the estimation of the notoriously difficult joint SSVD, GOFAR proposes both sequential and parallel unit-rank estimation procedures. By combining the ideas of alternating convex search and majorization–minimization, an efficient algorithm is developed to solve the sparse unit-rank problem and implemented in the R package gofar. Extensive simulation studies and two real-world applications demonstrate the effectiveness of the proposed approach.

Keywords: Divide-and-conquer; Integrative analysis; Multivariate learning; Singular value decomposition (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:157:y:2021:i:c:s0167947320302188

DOI: 10.1016/j.csda.2020.107127

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