Abstract
Penalization methods have been shown to yield both consistent variable selection and oracle parameter estimation under correct model specification. In this article, we study such methods under model misspecification, where the assumed form of the regression function is incorrect, including generalized linear models for uncensored outcomes and the proportional hazards model for censored responses. Estimation with the adaptive least absolute shrinkage and selection operator, lasso, penalty is proven to achieve sparse estimation of regression coefficients under misspecification. The resulting estimators are selection consistent, asymptotically normal and oracle, where the selection is based on the limiting values of the parameter estimators obtained using the misspecified model without penalization. We further derive conditions under which the penalized estimators from the misspecified model may yield selection consistency under the true model. The robustness is explored numerically via simulation and an application to the Wisconsin Epidemiological Study of Diabetic Retinopathy.
Original language | American English |
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Pages (from-to) | 717-731 |
Number of pages | 15 |
Journal | Biometrika |
Volume | 99 |
Issue number | 3 |
DOIs | |
State | Published - Sep 2012 |
Externally published | Yes |
Keywords
- Least false parameter
- Model misspecification
- Oracle property
- Penalization
- Selection consistency
- Shrinkage estimation
- Variable selection
All Science Journal Classification (ASJC) codes
- Applied Mathematics
- Agricultural and Biological Sciences (miscellaneous)
- General Agricultural and Biological Sciences
- Statistics and Probability
- Statistics, Probability and Uncertainty
- General Mathematics