Robust adaptive LASSO in high-dimensional logistic regression

Ayanendranath Basu (), Abhik Ghosh (), Maria Jaenada () and Leandro Pardo ()
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Ayanendranath Basu: Indian Statistical Institute
Abhik Ghosh: Indian Statistical Institute
Maria Jaenada: Statistics and O.R., Complutense University of Madrid
Leandro Pardo: Statistics and O.R., Complutense University of Madrid

Statistical Methods & Applications, 2024, vol. 33, issue 5, No 1, 1217-1249

Abstract: Abstract Penalized logistic regression is extremely useful for binary classification with large number of covariates (higher than the sample size), having several real life applications, including genomic disease classification. However, the existing methods based on the likelihood loss function are sensitive to data contamination and other noise and, hence, robust methods are needed for stable and more accurate inference. In this paper, we propose a family of robust estimators for sparse logistic models utilizing the popular density power divergence based loss function and the general adaptively weighted LASSO penalties. We study the local robustness of the proposed estimators through its influence function and also derive its oracle properties and asymptotic distribution. With extensive empirical illustrations, we demonstrate the significantly improved performance of our proposed estimators over the existing ones with particular gain in robustness. Our proposal is finally applied to analyse four different real datasets for cancer classification, obtaining robust and accurate models, that simultaneously performs gene selection and patient classification.

Keywords: Density power divergence; High-dimensional data; Logistic regression; Oracle properties; Variable selection (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10260-024-00760-2

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