Wurm Michael J, Rathouz Paul J, Hanlon Bret M
Department of Statistics, University of Wisconsin-Madison,
Department of Population Health, Dell Medical School at the University of Texas at Austin,
J Stat Softw. 2021 Sep;99(6). doi: 10.18637/jss.v099.i06.
Regularization techniques such as the lasso (Tibshirani 1996) and elastic net (Zou and Hastie 2005) can be used to improve regression model coefficient estimation and prediction accuracy, as well as to perform variable selection. Ordinal regression models are widely used in applications where the use of regularization could be beneficial; however, these models are not included in many popular software packages for regularized regression. We propose a coordinate descent algorithm to fit a broad class of ordinal regression models with an elastic net penalty. Furthermore, we demonstrate that each model in this class generalizes to a more flexible form, that can be used to model either ordered or unordered categorical response data. We call this the (ELMO) class, and it includes widely used models such as multinomial logistic regression (which also has an ordinal form) and ordinal logistic regression (which also has an unordered multinomial form). We introduce an elastic net penalty class that applies to either model form, and additionally, this penalty can be used to shrink a non-ordinal model toward its ordinal counterpart. Finally, we introduce the R package , which implements the algorithm for this model class.
诸如套索回归(蒂布希拉尼,1996年)和弹性网络(邹和哈斯蒂,2005年)等正则化技术可用于提高回归模型系数估计和预测准确性,以及进行变量选择。有序回归模型在使用正则化可能有益的应用中被广泛使用;然而,许多用于正则化回归的流行软件包中并未包含这些模型。我们提出一种坐标下降算法,以拟合具有弹性网络惩罚的广泛类别的有序回归模型。此外,我们证明该类中的每个模型都可推广到更灵活的形式,可用于对有序或无序分类响应数据进行建模。我们将此称为(ELMO)类,它包括广泛使用的模型,如多项逻辑回归(也有有序形式)和有序逻辑回归(也有无序多项形式)。我们引入一种适用于任何一种模型形式的弹性网络惩罚类,此外,这种惩罚可用于将非有序模型向其有序对应模型收缩。最后,我们介绍R包 ,它实现了针对该模型类的算法。