COMPSTAT 2016: Start Registration
View Submission - COMPSTAT
Title: A relative error-based approach for variable selection Authors:  Meiling Hao - The Hong Kong Polytechnic University (Hong Kong) [presenting]
Xingqiu Zhao - The Hong Kong Polytechnic University Shenzhen Research Institute (China)
Yuanyuan Lin - The Chinese University of Hong Kong (Hong Kong)
Abstract: The accelerated failure time model or the multiplicative regression model is well-suited to analyze data with positive responses. For the multiplicative regression model, an adaptive variable selection method is investigated via a relative error-based criterion and Lasso-type penalty with desired theoretical properties and computational convenience. With fixed or diverging number of variables in regression model,the resultant estimator achieves the oracle property. An alternating direction method of multipliers algorithm is proposed for computing the regularization paths effectively. A data-driven procedure based on the Bayesian information criterion is used to choose the tuning parameter. The finite-sample performance of the proposed method is examined via simulation studies. An application is illustrated with an analysis of one period of stock returns in Hong Kong Stock Exchange.