Some properties of generalized fused lasso and its applications to high dimensional data

Woncheol Jang, Johan Lim, Nicole A. Lazar, Ji Meng Loh, Donghyeon Yu

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

Identifying homogeneous subgroups of variables can be challenging in high dimensional data analysis with highly correlated predictors. The generalized fused lasso has been proposed to simultaneously select correlated variables and identify them as predictive clusters (grouping property). In this article, we study properties of the generalized fused lasso. First, we present a geometric interpretation of the generalized fused lasso along with discussion of its persistency. Second, we analytically show its grouping property. Third, we give comprehensive simulation studies to compare our version of the generalized fused lasso with other existing methods and show that the proposed method outperforms other variable selection methods in terms of prediction error and parsimony. We describe two applications of our method in soil science and near infrared spectroscopy studies. These examples having vastly different data types demonstrate the flexibility of the methodology particularly for high-dimensional data.

Original languageEnglish (US)
Pages (from-to)352-365
Number of pages14
JournalJournal of the Korean Statistical Society
Volume44
Issue number3
DOIs
StatePublished - Sep 1 2015

All Science Journal Classification (ASJC) codes

  • Statistics and Probability

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