Improving the prediction performance of the LASSO by subtracting the additive structural noises
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It is shown that the prediction performance of the LASSO method is improved for high dimensional data sets by subtracting structural noises through a sparse additive partially linear model. A mild combination of the partial residual estimation method and the back-fitting algorithm by further implying the LASSO method to the predictors of the linear part is proposed to estimate the parameters. The method is applied to the riboflavin production data set and a simulation study is conducted to examine the performance of the proposed method.
KeywordsAdditive partially linear model High dimensional LASSO Kernel smoothing Sparsity
The authors would like to thank two anonymous reviewers for their valuable comments on an earlier version of this paper. The research of the first author was partially supported by University of Tehran under Grant Number 28773/1/02. The second author’s research is supported by a Grant No. 266/97/17577 from the Research Councils of Semnan University, Iran.
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