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Elastic net for single index support vector regression model

The single index model (SIM) is a useful regression tool used to alleviate the so-called curse of dimensionality. In this paper, we propose a variable selection technique for the SIM by combining the estimation method with the Elastic Net penalized method to get sparse estimation of the index parame...

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Main Authors: Dhhan, Waleed, Rana, Sohel, Alshaybawee, Taha, Midi, Habshah
Format: Article
Language:English
Published: Academy of Economic Studies 2017
Online Access:http://psasir.upm.edu.my/id/eprint/14233/1/Elastic%20net%20for%20single%20index%20support%20vector%20regression%20model.pdf
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id oai:psasir.upm.edu.my:14233
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spelling oai:psasir.upm.edu.my:14233 http://psasir.upm.edu.my/id/eprint/14233/ Elastic net for single index support vector regression model Dhhan, Waleed Rana, Sohel Alshaybawee, Taha Midi, Habshah The single index model (SIM) is a useful regression tool used to alleviate the so-called curse of dimensionality. In this paper, we propose a variable selection technique for the SIM by combining the estimation method with the Elastic Net penalized method to get sparse estimation of the index parameters. Furthermore, we propose the support vector regression (SVR) to estimate the unknown nonparametric link function due to its ability to fit the non-linear relationships and the high dimensional problems. This make the proposed work is not only for estimating the parameters and the unknown link function of the single index model, but also for selecting the important variables simultaneously. Simulations of various single index models with nonlinear relationships among variables are conducted to demonstrate the effectiveness of the proposed semi-parametric estimation and the variable selection versus the existing fully parametric SVR method. Moreover, the proposed method is illustrated by analyzing a real data set. A data analysis is given which highlights the utility of the suggested methodology. Academy of Economic Studies 2017 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/14233/1/Elastic%20net%20for%20single%20index%20support%20vector%20regression%20model.pdf Dhhan, Waleed and Rana, Sohel and Alshaybawee, Taha and Midi, Habshah (2017) Elastic net for single index support vector regression model. Economic Computation and Economic Cybernetics Studies and Research, 51 (2). pp. 195-210. ISSN 0424-267X; ESSN: 1842-3264 http://www.ecocyb.ase.ro/Articles2017_2.htm
institution UPM IR
collection UPM IR
language English
description The single index model (SIM) is a useful regression tool used to alleviate the so-called curse of dimensionality. In this paper, we propose a variable selection technique for the SIM by combining the estimation method with the Elastic Net penalized method to get sparse estimation of the index parameters. Furthermore, we propose the support vector regression (SVR) to estimate the unknown nonparametric link function due to its ability to fit the non-linear relationships and the high dimensional problems. This make the proposed work is not only for estimating the parameters and the unknown link function of the single index model, but also for selecting the important variables simultaneously. Simulations of various single index models with nonlinear relationships among variables are conducted to demonstrate the effectiveness of the proposed semi-parametric estimation and the variable selection versus the existing fully parametric SVR method. Moreover, the proposed method is illustrated by analyzing a real data set. A data analysis is given which highlights the utility of the suggested methodology.
format Article
author Dhhan, Waleed
Rana, Sohel
Alshaybawee, Taha
Midi, Habshah
spellingShingle Dhhan, Waleed
Rana, Sohel
Alshaybawee, Taha
Midi, Habshah
Elastic net for single index support vector regression model
author_facet Dhhan, Waleed
Rana, Sohel
Alshaybawee, Taha
Midi, Habshah
author_sort Dhhan, Waleed
title Elastic net for single index support vector regression model
title_short Elastic net for single index support vector regression model
title_full Elastic net for single index support vector regression model
title_fullStr Elastic net for single index support vector regression model
title_full_unstemmed Elastic net for single index support vector regression model
title_sort elastic net for single index support vector regression model
publisher Academy of Economic Studies
publishDate 2017
url http://psasir.upm.edu.my/id/eprint/14233/1/Elastic%20net%20for%20single%20index%20support%20vector%20regression%20model.pdf
_version_ 1782718682071302144
score 12.935284

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