Suppr超能文献

贝叶斯因子调整的稀疏回归

Bayesian Factor-adjusted Sparse Regression.

作者信息

Fan Jianqing, Jiang Bai, Sun Qiang

机构信息

Department of Operations Research and Financial Engineering, Princeton University, Princeton, NJ 08544.

Department of Statistical Sciences, University of Toronto, Toronto, ON M5S 3G3.

出版信息

J Econom. 2022 Sep;230(1):3-19. doi: 10.1016/j.jeconom.2020.06.012. Epub 2021 Nov 1.

Abstract

Many sparse regression methods are based on the assumption that covariates are weakly correlated, which unfortunately do not hold in many economic and financial datasets. To address this challenge, we model the strongly-correlated covariates by a factor structure: strong correlations among covariates are explained by common factors and the remaining variations are interpreted as idiosyncratic components. We then propose a factor-adjusted sparse regression model with both common factors and idiosyncratic components as decorrelated covariates and develop a semi-Bayesian method. Parameter estimation rate-optimality and model selection consistency are established by non-asymptotic analyses. We show on simulated data that the semi-Bayesian method outperforms its Lasso analogue, manifests insensitivity to the overestimates of the number of common factors, pays a negligible price when covariates are not correlated, scales up well with increasing sample size, dimensionality and sparsity, and converges fast to the equilibrium of the posterior distribution. Numerical results on a real dataset of U.S. bond risk premia and macroeconomic indicators also lend strong supports to the proposed method.

摘要

许多稀疏回归方法基于协变量弱相关的假设,但遗憾的是,这一假设在许多经济和金融数据集中并不成立。为应对这一挑战,我们通过因子结构对强相关协变量进行建模:协变量之间的强相关性由公共因子解释,其余变化则被解释为特质成分。然后,我们提出一种因子调整的稀疏回归模型,将公共因子和特质成分都作为去相关的协变量,并开发了一种半贝叶斯方法。通过非渐近分析建立了参数估计的速率最优性和模型选择的一致性。我们在模拟数据上表明,半贝叶斯方法优于其Lasso类似方法,对公共因子数量的高估不敏感,在协变量不相关时代价可忽略不计,随着样本量、维度和稀疏性的增加扩展性良好,并且能快速收敛到后验分布的均衡状态。关于美国债券风险溢价和宏观经济指标的真实数据集的数值结果也为所提出的方法提供了有力支持。

相似文献

1
Bayesian Factor-adjusted Sparse Regression.贝叶斯因子调整的稀疏回归
J Econom. 2022 Sep;230(1):3-19. doi: 10.1016/j.jeconom.2020.06.012. Epub 2021 Nov 1.
2
Factor-Adjusted Regularized Model Selection.因子调整正则化模型选择
J Econom. 2020 May;216(1):71-85. doi: 10.1016/j.jeconom.2020.01.006. Epub 2020 Feb 7.
3
Bayesian Bridge Regression.贝叶斯桥式回归
J Appl Stat. 2018;45(6):988-1008. doi: 10.1080/02664763.2017.1324565. Epub 2017 May 10.
4
Bayesian sparse reduced rank multivariate regression.贝叶斯稀疏降秩多元回归
J Multivar Anal. 2017 May;157:14-28. doi: 10.1016/j.jmva.2017.02.007. Epub 2017 Mar 4.
5
The lasso for high dimensional regression with a possible change point.具有可能变化点的高维回归套索法
J R Stat Soc Series B Stat Methodol. 2016 Jan;78(1):193-210. doi: 10.1111/rssb.12108. Epub 2015 Feb 15.
8
Sparse Multivariate Regression With Covariance Estimation.带协方差估计的稀疏多元回归
J Comput Graph Stat. 2010 Fall;19(4):947-962. doi: 10.1198/jcgs.2010.09188.

本文引用的文献

1
Adaptive Huber Regression on Markov-dependent Data.基于马尔可夫相关数据的自适应Huber回归
Stoch Process Their Appl. 2022 Aug;150:802-818. doi: 10.1016/j.spa.2019.09.004. Epub 2019 Sep 25.
3
Factor-Adjusted Regularized Model Selection.因子调整正则化模型选择
J Econom. 2020 May;216(1):71-85. doi: 10.1016/j.jeconom.2020.01.006. Epub 2020 Feb 7.
6
Dirichlet-Laplace priors for optimal shrinkage.用于最优收缩的狄利克雷-拉普拉斯先验
J Am Stat Assoc. 2015 Dec 1;110(512):1479-1490. doi: 10.1080/01621459.2014.960967. Epub 2014 Sep 25.
10
Sparse High Dimensional Models in Economics.经济学中的稀疏高维模型。
Annu Rev Econom. 2011 Sep;3:291-317. doi: 10.1146/annurev-economics-061109-080451.

文献AI研究员

20分钟写一篇综述,助力文献阅读效率提升50倍。

立即体验

用中文搜PubMed

大模型驱动的PubMed中文搜索引擎

马上搜索

文档翻译

学术文献翻译模型,支持多种主流文档格式。

立即体验