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Sparse supervised dimension reduction in high dimensional classification

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Title: Sparse supervised dimension reduction in high dimensional classification
Author(s): Wang, Junhui; Wang, Lifeng
Subject(s): dimension subspace
Abstract: Supervised dimension reduction has proven effective in analyzing data with complex structure. The primary goal is to seek the reduced subspace of minimal dimension which is sufficient for summarizing the data structure of interest. This paper investigates the supervised dimension reduction in high dimensional classification context, and proposes a novel method for estimating the dimension reduction subspace while retaining the ideal classification boundary based on the original dataset. The proposed method combines the techniques of margin based classification and shrinkage estimation, and can estimate the dimension and the directions of the reduced subspace simultaneously. Both theoretical and numerical results indicate that the proposed method is highly competitive against its competitors, especially when the dimension of the covariates exceeds the sample size.
Issue Date: 2010
Publisher: Institute of Mathematical Statistics
Citation Info: Wang, J. H. & Wang, L. F. 2010. Sparse supervised dimension reduction in high dimensional classification. Electronic Journal of Statistics, 4: 914-931. DOI: 10.1214/10-EJS572.
Type: Article
Description: The original source for this publication is at the Institute of Mathematical Statistics; DOI: 10.1214/10-EJS572
ISSN: 1935-7524
Sponsor: The research of the second author was supported by a NSF grant DMS-1007634.
Date Available in INDIGO: 2011-05-26

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