Sequential Scaled Sparse Factor Regression

Zemin Zheng, Yang Li, Jie Wu and Yuchen Wang

Journal of Business & Economic Statistics, 2022, vol. 40, issue 2, 595-604

Abstract: Large-scale association analysis between multivariate responses and predictors is of great practical importance, as exemplified by modern business applications including social media marketing and crisis management. Despite the rapid methodological advances, how to obtain scalable estimators with free tuning of the regularization parameters remains unclear under general noise covariance structures. In this article, we develop a new methodology called sequential scaled sparse factor regression (SESS) based on a new viewpoint that the problem of recovering a jointly low-rank and sparse regression coefficient matrix can be decomposed into several univariate response sparse regressions through regular eigenvalue decomposition. It combines the strengths of sequential estimation and scaled sparse regression, thus sharing the scalability and the tuning free property for sparsity parameters inherited from the two approaches. The stepwise convex formulation, sequential factor regression framework, and tuning insensitiveness make SESS highly scalable for big data applications. Comprehensive theoretical justifications with new insights into high-dimensional multi-response regressions are also provided. We demonstrate the scalability and effectiveness of the proposed method by simulation studies and stock short interest data analysis.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/07350015.2020.1844212 (text/html)
Access to full text is restricted to subscribers.

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:taf:jnlbes:v:40:y:2022:i:2:p:595-604

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/UBES20

DOI: 10.1080/07350015.2020.1844212

Access Statistics for this article

Journal of Business & Economic Statistics is currently edited by Eric Sampson, Rong Chen and Shakeeb Khan

More articles in Journal of Business & Economic Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().