Penalized regression via the restricted bridge estimator (1910.03660v1)

Abstract: This article is concerned with the Bridge Regression, which is a special family in penalized regression with penalty function $\sum_{j=1}^{p}|\beta_j|^q$ with $q>0$, in a linear model with linear restrictions. The proposed restricted bridge (RBRIDGE) estimator simultaneously estimates parameters and selects important variables when a prior information about parameters are available in either low dimensional or high dimensional case. Using local quadratic approximation, the penalty term can be approximated around a local initial values vector and the RBRIDGE estimator enjoys a closed-form expression which can be solved when $q>0$. Special cases of our proposal are the restricted LASSO ($q=1$), restricted RIDGE ($q=2$), and restricted Elastic Net ($1< q < 2$) estimators. We provide some theoretical properties of the RBRIDGE estimator under for the low dimensional case, whereas the computational aspects are given for both low and high dimensional cases. An extensive Monte Carlo simulation study is conducted based on different prior pieces of information and the performance of the RBRIDGE estiamtor is compared with some competitive penalty estimators as well as the ORACLE. We also consider four real data examples analysis for comparison sake. The numerical results show that the suggested RBRIDGE estimator outperforms outstandingly when the prior is true or near exact