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High-dimensional Linear Regression Problems via Graphical Models

Aldahmani, Saeed (2017) High-dimensional Linear Regression Problems via Graphical Models. PhD thesis, University of Essex.

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Abstract

This thesis introduces a new method for solving the linear regression problem where the number of observations n is smaller than the number of variables (predictors) v. In contrast to existing methods such as ridge regression, Lasso and Lars, the proposed method uses the idea of graphical models and provides unbiased parameter estimates under certain conditions. In addition, the new method provides a detailed graphical conditional correlation structure for the predictors, whereby the real causal relationship between predictors can be identified. Furthermore, the proposed method is extended to form a hybridisation with the idea of ridge regression to improve efficiency in terms of computation and model selection. In the extended method, less important variables are regularised by a ridge type penalty, and a search for models in the space is made for important covariates. This significantly reduces computational cost while giving unbiased estimates for the important variables as well as increasing the efficiency of model selection. Moreover, the extended method is used in dealing with the issue of portfolio selection within the Markowitz mean-variance framework, with n<v. Various simulations and real data analyses were conducted for comparison between the two novel methods and the aforementioned existing methods. Our experiments indicate that the new methods outperform all the other methods when n<v.

Item Type: Thesis (PhD)
Subjects: Q Science > Q Science (General)
Q Science > QA Mathematics
Divisions: Faculty of Science and Health > Mathematical Sciences, Department of
Depositing User: Saeed Aldahmani
Date Deposited: 06 Mar 2017 13:02
Last Modified: 06 Mar 2017 13:25
URI: http://repository.essex.ac.uk/id/eprint/19207

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