Automatic Response Category Combination in Multinomial Logistic Regression. Issue 3 (3rd July 2019)

• Record Type: Journal Article
• Authors: Price, Bradley S.; Geyer, Charles J.; Rothman, Adam J.
• Is Part Of: Journal of computational and graphical statistics. Volume 28:Issue 3(2019)
• Page Start: 758
• Page End: 766
• Publication Date: 2019-07-03
• Subjects: Fusion penalty -- Multinomial logistic regression -- Response category reduction; Mathematical statistics -- Data processing -- Periodicals; Mathematical statistics -- Graphic methods -- Periodicals; 519.50285
• DOI: 10.1080/10618600.2019.1585258
• Languages: English
• ISSNs: 1061-8600

Abstract

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 nondifferentiable 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. Supplemental materials for this article are available online.