Year: 2017
Type: preprint
Abstract: We propose a penalized likelihood method that simultaneously fits the multinomial logistic regression model and combines subsets of the response categories. The penalty is non differentiable when pairs of columns in the optimization variable are equal. This encourages pairwise equality of these columns in the estimator, which corresponds to response category combination. We use an alternating direction method of multipliers algorithm to compute the estimator and we discuss the algorithm's convergence. Prediction and model selection are also addressed.
Source: arXiv (Cornell University)
Authors: Price, Bradley S., Geyer, Charles J., Rothman, Adam J.
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W4298228060