Improved variable selection with Forward-Lasso adaptive shrinkage

TL;DR

The paper introduces FLASH, a new variable selection method that adaptively combines Lasso and Forward Selection, improving performance in high-dimensional regression and generalized linear models.

Contribution

FLASH is a novel method that adaptively adjusts shrinkage during variable selection, unifying Lasso and Forward Selection and extending to GLMs.

Findings

FLASH outperforms competing methods in simulations.

FLASH is efficiently implemented with LARS.

FLASH improves variable selection accuracy.

Abstract

Recently, considerable interest has focused on variable selection methods in regression situations where the number of predictors, $p$, is large relative to the number of observations, $n$. Two commonly applied variable selection approaches are the Lasso, which computes highly shrunk regression coefficients, and Forward Selection, which uses no shrinkage. We propose a new approach, "Forward-Lasso Adaptive SHrinkage" (FLASH), which includes the Lasso and Forward Selection as special cases, and can be used in both the linear regression and the Generalized Linear Model domains. As with the Lasso and Forward Selection, FLASH iteratively adds one variable to the model in a hierarchical fashion but, unlike these methods, at each step adjusts the level of shrinkage so as to optimize the selection of the next variable. We first present FLASH in the linear regression setting and show that it can be fitted using a variant of the computationally efficient LARS algorithm. Then, we extend FLASH to the GLM domain and demonstrate, through numerous simulations and real world data sets, as well as some theoretical analysis, that FLASH generally outperforms many competing approaches.