With the rise of high-dimensional correlated data, multicollinearity poses a significant challenge to model stability, often leading to unstable estimation and reduced predictive accuracy. This work proposes the Single-Parametric Principal Component Selection Operator (SPPCSO), an innovative penalized estimation method that integrates single-parametric principal component regression and L1 regularization to adaptively adjust the shrinkage factor by incorporating principal component information. This approach achieves a balance between variable selection and coefficient estimation, ensuring model stability and robust estimation even in high-dimensional, high-noise environments. The primary contribution lies in addressing the instability of traditional variable selection methods when applied to high-noise, high-dimensional correlated data. Theoretically, our method exhibits selection consistency and achieves a smaller estimation error bound compared to traditional penalized estimation approaches. Extensive numerical experiments demonstrate that SPPCSO not only delivers stable and reliable estimation in high-noise settings but also accurately distinguishes signal variables from noise variables in group-effect structured data with highly correlated noise variables, effectively eliminating redundant variables and achieving more stable variable selection. Furthermore, SPPCSO successfully identifies disease-associated genes in gene expression data analysis, showcasing strong practical value. The results indicate that SPPCSO serves as an ideal tool for high-dimensional variable selection, offering an efficient and interpretable solution for modeling correlated data.
Figures & tables
Estimation Method
Shrinkage Factor
Ridge estimation
di+kdi=1−di+kk
Liu estimation
di+1di+h
SPPCR estimation
⎩⎨⎧didi−1+θ,θdi,di≥1di<1
Table 1: Shrinkage factors of different estimation methods
X∗=(XZ),y∗=(y0).
Algorithm 1 The coordinate decent algorithm for the SPPCSO
Figure 1: Solution path of the SPPCSO with respect to the parameter λ
Figure 4
Method
σ =0.5
σ =1
σ =2
Est Error
Std Dev
Estn Error
Std Dev
Est Error
Std Dev
LASSO
0.9571
0.2083
1.7573
0.4200
3.6713
0.8382
MCP
8.0887
2.2153
9.0925
3.0784
9.9405
1.7509
SCAD
7.8636
3.2870
8.3720
2.4588
9.3404
1.7447
Enet
0.7861
0.1697
1.2426
0.3160
1.9663
0.8021
Mnet
0.6252
0.1383
0.9063
0.1692
1.2092
0.3593
Table 2: Average estimation error and standard deviation for Example 1
Method
σ =0.5
σ =1
σ =2
Pre Error
Std Dev
Pre Error
Std Dev
Pre Error
Std Dev
LASSO
0.3252
0.0605
1.2850
0.2187
5.2246
0.9739
MCP
4.4767
13.2624
8.2810
21.9644
9.1475
2.5962
SCAD
8.3170
26.1689
7.0328
24.4160
8.2789
2.3673
Enet
0.3208
0.0554
1.2479
0.2025
4.9183
0.9608
Mnet
0.2918
0.0462
1.1589
0.1976
4.6989
0.7843
Table 3: Average prediction error and standard deviation for Example 1
Method
σ =0.5
σ =1
σ =2
TPR
TNR
TMR
TPR
TNR
TMR
TPR
TNR
TMR
LASSO
1.000
0.982
0.138
1.000
0.987
0.138
0.989
0.988
0.138
MCP
0.653
0.997
0.000
0.619
0.992
0.000
0.538
0.996
0.000
SCAD
0.698
0.983
0.013
0.661
0.987
0.000
0.577
0.987
0.000
Enet
1.000
0.981
0.138
1.000
0.985
0.125
0.999
0.982
0.088
Mnet
1.000
0.998
0.488
1.000
0.997
0.525
0.998
0.994
0.200
Table 4: TPR, TNR, and TMR for Example 1
Method
ρ =0.5
ρ =0.75
ρ =0.95
Est Error
Std Dev
Est Error
Std Dev
Est Error
Std Dev
LASSO
4.4559
1.3309
4.5233
1.0556
4.0679
0.9334
MCP
19.1823
0.7085
19.3239
0.6469
19.2281
0.6575
SCAD
19.1818
0.7072
19.3295
0.6493
19.2287
0.6628
Enet
2.2640
0.6605
2.5113
0.8459
2.1949
0.8089
Mnet
1.4280
1.1497
1.6669
1.4552
1.3523
1.0139
Table 5: Average estimation error and standard deviation for Example 2
Method
ρ =0.5
ρ =0.75
ρ =0.95
Pre Error
Std Dev
Pre Error
Std Dev
Pre Error
Std Dev
LASSO
1.5626
0.5447
1.5407
0.2755
1.3384
0.2503
MCP
4.8789
0.7955
4.9638
0.8179
4.8581
0.7325
SCAD
4.8857
0.7807
4.9612
0.8239
4.8676
0.7459
Enet
1.3901
0.2449
1.3847
0.2449
1.2293
0.2139
Mnet
1.3837
0.2623
1.3720
0.2376
1.2027
0.2174
Table 6: Average prediction error and standard deviation for Example 2
Method
ρ =0.5
ρ =0.75
ρ =0.95
TPR
TNR
TMR
TPR
TNR
TMR
TPR
TNR
TMR
LASSO
0.983
0.956
0.013
0.988
0.964
0.000
0.991
0.970
0.013
MCP
0.200
0.999
0.000
0.200
0.998
0.000
0.200
0.998
0.000
SCAD
0.200
0.994
0.000
0.200
0.994
0.000
0.200
0.995
0.000
Enet
1.000
0.962
0.000
0.999
0.966
0.000
0.999
0.970
0.013
Mnet
0.981
0.986
0.025
0.968
0.988
0.038
0.983
0.991
0.038
Table 7: TPR, TNR, and TMR for Example 2
Figure 4: Performance comparison of methods. The image on the left is the radar chart of TPR, TNR, and TMR values for Example 1, while the one on the right corresponds to Example 2.
Method
Lasso
MCP
SCAD
Enet
Mnet
SACE
GCACE
SPPCSO
MAPE(train)
0.0385
0.0534
0.0502
0.0225
0.0309
0.0193
0.0245
0.0282
MAPE(test)
0.0908
0.0936
0.0884
0.0855
0.0944
0.0841
0.1063
0.0803
NNZ
32.60
25.40
19.28
805.64
254.94
82.90
135.38
72.44
Table 8: MAPE and NNZ values for the training and test sets of rat genetic data
Department of Mathematics and Statistics Auburn University, Auburn, AL 36849 · Department of Biostatistics, Data Science and Epidemiology Medical College of Georgia, Augusta University, Augusta, GA, 30912