Interpretable sparse SIR for functional data - INRAE - Institut national de recherche pour l’agriculture, l’alimentation et l’environnement
Article Dans Une Revue Statistics and Computing Année : 2019

Interpretable sparse SIR for functional data

Résumé

We propose a semiparametric framework based on sliced inverse regression (SIR) to address the issue of variable selection in functional regression. SIR is an effective method for dimension reduction which computes a linear projection of the predictors in a low-dimensional space, without loss of information on the regression. In order to deal with the high dimensionality of the predictors, we consider penalized versions of SIR: ridge and sparse. We extend the approaches of variable selection developed for multidimensional SIR to select intervals that form a partition of the definition domain of the functional predictors. Selecting entire intervals rather than separated evaluation points improves the interpretability of the estimated coefficients in the functional framework. A fully automated iterative procedure is proposed to find the critical (interpretable) intervals. The approach is proved efficient on simulated and real data. The method is implemented in the R package SISIR available on CRAN at https://cran.r-project.org/package=SISIR.
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Dates et versions

hal-02618466 , version 1 (25-05-2020)

Identifiants

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Victor Picheny, Rémi Servien, Nathalie Vialaneix. Interpretable sparse SIR for functional data. Statistics and Computing, 2019, 29 (2), pp.255 - 267. ⟨10.1007/s11222-018-9806-6⟩. ⟨hal-02618466⟩
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