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Spotlight
Closed-form Estimators for High-dimensional Generalized Linear Models
Eunho Yang · Aurelie Lozano · Pradeep Ravikumar

Tue Dec 08 02:30 PM -- 03:00 PM (PST) @ Room 210 A
in Spotlight Session 4 »

We propose a class of closed-form estimators for GLMs under high-dimensional sampling regimes. Our class of estimators is based on deriving closed-form variants of the vanilla unregularized MLE but which are (a) well-defined even under high-dimensional settings, and (b) available in closed-form. We then perform thresholding operations on this MLE variant to obtain our class of estimators. We derive a unified statistical analysis of our class of estimators, and show that it enjoys strong statistical guarantees in both parameter error as well as variable selection, that surprisingly match those of the more complex regularized GLM MLEs, even while our closed-form estimators are computationally much simpler. We derive instantiations of our class of closed-form estimators, as well as corollaries of our general theorem, for the special cases of logistic, exponential and Poisson regression models. We corroborate the surprising statistical and computational performance of our class of estimators via extensive simulations.

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Author Information

Eunho Yang (IBM Thomas J. Watson Research Center)
Aurelie Lozano (IBM Research)
Pradeep Ravikumar (University of Texas at Austin)

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