Selecting groups of covariates in the elastic net

Research output: Book/ReportReportResearch

452 Downloads (Pure)

Abstract

This paper introduces a novel method to select groups of variables in sparse regression and classication settings. The groups are formed based on the correlations between covariates and ensure that for example spatial or spectral relations are preserved without explicitly coding for these. The preservation of relations gives increased interpretability. The method is based on the elastic net and adaptively selects highly correlated groups of variables and does therefore not waste time in grouping irrelevant variables for the problem at hand. The method is illustrated on a simulated data set and on regression of moisture content in multispectral images of sand. In both cases, the predictions were better or similar to existing regression and classication algorithms and the interpretation was enhanced using the grouping method. On top of that, the grouping method more consistently selects the important variables.
Original languageEnglish
Place of PublicationKgs. Lyngby
PublisherTechnical University of Denmark
Number of pages14
Publication statusPublished - 2014
SeriesDTU Compute-Technical Report-2014
Number15
ISSN1601-2321

Cite this

Clemmensen, L. K. H. (2014). Selecting groups of covariates in the elastic net. Technical University of Denmark. DTU Compute-Technical Report-2014, No. 15