Modeling by Combining Dimension Reduction and L2Boosting
Dimension reduction techniques are widely used in high dimensional modeling. The two stage approach, first making dimension reduction and then applying existing regression or classification method, is commonly used in practice. However, an important issue is that when two stage approach can lead to consistent estimate. In this paper, we focus on L2boosting and discuss the consistency of the two stage method-dimension reduction based L2boosting (briey DRL2B). We establish the conditions under which DRL2B method results in consistent estimate. This theoretical finding provides some useful guideline for practical application. In addition, we propose an iterative DRL2B approach and make some simulation study. Simulation results shows that iterative DRL2B method has good performance
Keywordsdimension reduction L2boosting consistency
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