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An iterative algorithm for high-dimensional linear models with both sparse and non-sparse structures

2023/11/09 by Shun Yu, Yu, Shun, Yuehan Yang +1
Engineering · Mathematics · Medicine · #FOS: Computer and information sciences #Liver Disease Diagnosis and Treatment #Methodology (stat.ME) #Sparse and Compressive Sensing Techniques #Statistical Methods and Inference

paper · pdf · doi:10.48550/arxiv.2311.05339

openalex publication_date 2023/11/09 · openalex created_date 2023/11/11 · openalex updated_date 2026/07/28

Abstract

Numerous practical medical problems often involve data that possess a combination of both sparse and non-sparse structures. Traditional penalized regularizations techniques, primarily designed for promoting sparsity, are inadequate to capture the optimal solutions in such scenarios. To address these challenges, this paper introduces a novel algorithm named Non-sparse Iteration (NSI). The NSI algorithm allows for the existence of both sparse and non-sparse structures and estimates them simultaneously and accurately. We provide theoretical guarantees that the proposed algorithm converges to the oracle solution and achieves the optimal rate for the upper bound of the l2-norm error. Through simulations and practical applications, NSI consistently exhibits superior statistical performance in terms of estimation accuracy, prediction efficacy, and variable selection compared to several existing methods. The proposed method is also applied to breast cancer data, revealing repeated selection of specific genes for in-depth analysis.

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