Elastic-net Regularized High-dimensional Negative Binomial Regression: Consistency and Weak Signals Detection

TL;DR

This paper investigates the theoretical properties of elastic-net regularized negative binomial regression for high-dimensional count data, establishing consistency, signal detection, and grouping effects with probabilistic guarantees.

Contribution

It provides non-asymptotic oracle inequalities, concentration inequalities, and conditions for variable selection consistency in elastic-net NBR, extending to empirical processes with stochastic Lipschitz properties.

Findings

Oracle inequalities for elastic-net NBR estimates.

Sign consistency under signal strength conditions.

High-probability grouping effect and variable recovery.

Abstract

We study a sparse negative binomial regression (NBR) for count data by showing the non-asymptotic advantages of using the elastic-net estimator. Two types of oracle inequalities are derived for the NBR's elastic-net estimates by using the Compatibility Factor Condition and the Stabil Condition. The second type of oracle inequality is for the random design and can be extended to many $\ell_1 + \ell_2$ regularized M-estimations, with the corresponding empirical process having stochastic Lipschitz properties. We derive the concentration inequality for the suprema empirical processes for the weighted sum of negative binomial variables to show some high--probability events. We apply the method by showing the sign consistency, provided that the nonzero components in the true sparse vector are larger than a proper choice of the weakest signal detection threshold. In the second application, we show the grouping effect inequality with high probability. Third, under some assumptions for a design matrix, we can recover the true variable set with a high probability if the weakest signal detection threshold is large than the turning parameter up to a known constant. Lastly, we briefly discuss the de-biased elastic-net estimator, and numerical studies are given to support the proposal.