Workshop in Biostatistics

DATE: October 22, 2015
TIME: 1:30 - 2:50 pm
LOCATION: Medical School Office Building, Rm x303
TITLE: Interaction Pursuit with Feature Screening and Selection
SPEAKER: Jinchi Lv
Associate Professor, Data Sciences and Operations Dept
Marshall School of Business, University of Southern California

 

Abstract:
Understanding how features interact with each other is of paramount importance in many scientific discoveries and contemporary applications. Yet interaction identification becomes challenging even for a moderate number of covariates. In this paper, we suggest an efficient and flexible procedure, called the interaction pursuit (IP), for interaction identification in ultra-high dimensions. The suggested method first reduces the number of interactions and main effects to a moderate scale by a new feature screening approach, and then selects important interactions and main effects in the reduced feature space using regularization methods. Compared to existing approaches, our method screens interactions separately from main effects and thus can be more effective in interaction screening. Under a fairly general framework, we establish that for both interactions and main effects, the method enjoys the sure screening property in screening and oracle inequalities in selection. Our method and theoretical results are supported by several simulation and real data examples. This is a joint work with Yingying Fan, Yinfei Kong and Daoji Li.

Suggeted reading:

Cordell, H.J. (2009). Detecting gene-gene interactions that underlie human diseases. Nature Reviews Genetics, 10:392-404.

Bien, J., Taylor, J. and Tibshirani, R. (2013). A lasso for hierarchical interactions The Annals of Statistics; 41:1111-1141.