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High Dimensional Logistic Regression Model using Adjusted Elastic Net Penalty

Author(s)
Zakariya Yahya Algamal Department of Mathematical Sciences, Universiti Teknologi Malaysia 81310 Skudai, Johor, Malaysia
Muhammad Hisyam Lee Department of Mathematical Sciences, Universiti Teknologi Malaysia 81310 Skudai, Johor, Malaysia
Abstract
Reduction of the high dimensional binary classification data using penalized logistic regression is one of the challenges when the explanatory variables are correlated. To tackle both estimating the coefficients and performing the variable selection simultaneously, elastic net penalty was successfully applied in high dimensional binary classification. However, elastic net has two major limitations. First it does not encourage grouping effects when there is no high correlation. Second, it is not consistent in variable selection. To address these issues, an adjusted of the elastic net (AEN) and its adaptive adjusted elastic net (AAEM), are proposed to take into account the small and medium correlation between explanatory variables and to provide the consistency of the variable selection simultaneously. Our simulation and real data results show that AEN and AAEN have advantage with small, medium, and extremely correlated variables in terms of both prediction and variable selection consistency comparing with other existing penalized methods.
Publication Details
Page(s) 667-676
DOI DOI not available
Published Journal: Pakistan Journal of Statistics and Operation Research, Volume: 11, Issue: 4, Year: 2015

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Keywords
Logistic Regression, Lasso, High dimensional, Penalization, Elastic net
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