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Regularized Regression Incorporating Network Information: Simultaneous Estimation of Covariate Coefficients and Connection Signs

Author

Listed:
  • Matthias Weber

    (University of Amsterdam, the Netherlands)

  • Martin Schumacher

    (University Medical Center, Freiburg)

  • Harald Binder

    (University Medical Center, Mainz, Germany)

Abstract

We develop an algorithm that incorporates network information into regression settings. It simultaneously estimates the covariate coefficients and the signs of the network connections (i.e. whether the connections are of an activating or of a repressing type). For the coefficient estimation steps an additional penalty is set on top of the lasso penalty, similarly to Li and Li (2008). We develop a fast implementation for the new method based on coordinate descent. Furthermore, we show how the new methods can be applied to time-to-event data. The new method yields good results in simulation studies concerning sensitivity and specificity of non-zero covariate coefficients, estimation of network connection signs, and prediction performance. We also apply the new method to two microarray time-to-event data sets from patients with ovarian cancer and diffuse large B-cell lymphoma. The new method performs very well in both cases. The main application of this new method is of biomedical nature, but it may also be useful in other fields where network data is available.

Suggested Citation

  • Matthias Weber & Martin Schumacher & Harald Binder, 2014. "Regularized Regression Incorporating Network Information: Simultaneous Estimation of Covariate Coefficients and Connection Signs," Tinbergen Institute Discussion Papers 14-089/I, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:20140089
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    high-dimensional data; gene expression data; pathway information; penalized regression;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis

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