Monitoring sequential structural changes in penalized high-dimensional linear models

IF 0.6 4区数学 Q4 STATISTICS & PROBABILITY

Sequential Analysis-Design Methods and Applications Pub Date : 2021-07-03 DOI:10.1080/07474946.2021.1940500

Suthakaran Ratnasingam, Wei Ning

引用次数: 1

Abstract

Abstract In this article, we propose a procedure to monitor the structural changes in the penalized regression model for high-dimensional data sequentially. Our approach utilizes a given historical data set to perform both variable selection and estimation simultaneously. The asymptotic properties of the test statistics are established under the null and alternative hypotheses. The finite sample behavior of the monitoring procedure is investigated with simulation studies. The proposed method is applied to a real data set to illustrate the detection procedure.

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监测惩罚高维线性模型的顺序结构变化

在本文中，我们提出了一个程序来监测高维数据的惩罚回归模型的结构变化。我们的方法利用给定的历史数据集同时执行变量选择和估计。在零假设和备假设下，建立了检验统计量的渐近性质。用仿真方法研究了监测过程的有限样本行为。将该方法应用于实际数据集，说明了该方法的检测过程。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Sequential Analysis-Design Methods and Applications STATISTICS & PROBABILITY-

CiteScore

1.40

自引率

12.50%

发文量

期刊介绍： The purpose of Sequential Analysis is to contribute to theoretical and applied aspects of sequential methodologies in all areas of statistical science. Published papers highlight the development of new and important sequential approaches. Interdisciplinary articles that emphasize the methodology of practical value to applied researchers and statistical consultants are highly encouraged. Papers that cover contemporary areas of applications including animal abundance, bioequivalence, communication science, computer simulations, data mining, directional data, disease mapping, environmental sampling, genome, imaging, microarrays, networking, parallel processing, pest management, sonar detection, spatial statistics, tracking, and engineering are deemed especially important. Of particular value are expository review articles that critically synthesize broad-based statistical issues. Papers on case-studies are also considered. All papers are refereed.