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I am using the R package penalized to obtain shrunken estimates of coefficients for a dataset where I have lots of predictors and little knowledge of which ones are important. After I've picked tuning parameters L1 and L2 and I'm satisfied with my coefficients, is there a statistically sound way to summarize the model fit with something like R-squared?

Furthermore, I'm interested in testing the overall significance of the model (i.e. does R²=0, or do all the =0).

I've read through the answers on a similar question asked here, but it didn't quite answer my question. There's an excellent tutorial on the R package that I'm using here, and the author Jelle Goeman had the following note at the end of the tutorial regarding confidence intervals from penalized regression models:

It is a very natural question to ask for standard errors of regression coefficients or other estimated quantities. In principle such standard errors can easily be calculated, e.g. using the bootstrap.

Still, this package deliberately does not provide them. The reason for this is that standard errors are not very meaningful for strongly biased estimates such as arise from penalized estimation methods. Penalized estimation is a procedure that reduces the variance of estimators by introducing substantial bias. The bias of each estimator is therefore a major component of its mean squared error, whereas its variance may contribute only a small part.

Unfortunately, in most applications of penalized regression it is impossible to obtain a sufficiently precise estimate of the bias. Any bootstrap-based cal- culations can only give an assessment of the variance of the estimates. Reliable estimates of the bias are only available if reliable unbiased estimates are available, which is typically not the case in situations in which penalized estimates are used.

Reporting a standard error of a penalized estimate therefore tells only part of the story. It can give a mistaken impression of great precision, completely ignoring the inaccuracy caused by the bias. It is certainly a mistake to make confidence statements that are only based on an assessment of the variance of the estimates, such as bootstrap-based confidence intervals do.

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    $\begingroup$ Of course one way I can quickly get an estimate of R-squared is by fitting a linear model predicting the fitted values from the original data and taking the R-squared from that. But this seems like it would be a massively-overfit and biased estimate of R-squared. $\endgroup$ – Stephen Turner Feb 15 '11 at 3:13
  • $\begingroup$ I add this as a comment since I am asking a "similar" question in a nearby post (so I dont know if I qualify as giving an answer), but for your question specifically it seems like you can calculate R-squared without requiring any distributional assumptions (they are needed for hypothesis tests in the ordinary way though). Can't you use a hold out set to calculate r-squared or use a k-fold validation if you don't have enough data (at each fold run your full penalized process and average the r-squares from each of the folds not used in the fitting)? $\endgroup$ – B_Miner Feb 15 '11 at 13:00
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    $\begingroup$ @B_Miner, $k$-fold cross validation tends to give quite biased estimates of $R^2$, as it generally isn't estimating the true quantity of interest. Many (most?) similar procedures have the same problem. $\endgroup$ – cardinal Feb 15 '11 at 14:20
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    $\begingroup$ @Stephen, is $R^2$ really the quantity you are interested in? Because of the bias induced by penalization, looking at only the variance explained is probably not desirable unless you already have a very good estimate of the bias. The whole idea of using $R^2$ as a basis for inference is predicated on the unbiasedness of the estimates. Even major textbooks on regression seem to "forget" this. (See, for example, Seber and Lee's somewhat faulty treatment of $R^2$ in the multiple regression case.) $\endgroup$ – cardinal Feb 15 '11 at 14:26
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    $\begingroup$ I think that $R^2$ can be defined in the usual way and can sometimes be helpful. Even though standard errors do not account for bias, they are the standard errors of "conservative, shrunk towards zero" quantities. They perhaps cannot be used for formal inference but I'd like to hear more discussion before concluded they should never be used. $\endgroup$ – Frank Harrell May 18 '11 at 13:01
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My first reaction to Jelle's comments given is "bias-schmias". You have to be careful about what you mean by "large amount of predictors". This could be "large" with respect to:

  1. The number of data points ("big p small n")
  2. The amount of time you have to investigate the variables
  3. The computational cost of inverting a giant matrix

My reaction was based on "large" with respect to point 1. This is because in this case it is usually worth the trade-off in bias for the reduction in variance that you get. Bias is only important "in-the-long-run". So if you have a small sample, then who care's about "the-long-run"?

Having said all that above, $R^2$ is probably not a particularly good quantity to calculate, especially when you have lots of variables (because that's pretty much all $R^2$ tells you: you have lots of variables). I would calculate something more like a "prediction error" using cross validation.

Ideally this "prediction error" should be based on the context of your modeling situation. You basically want to answer the question "How well does my model reproduce the data?". The context of your situation should be able to tell you what "how well" means in the real world. You then need to translate this into some sort of mathematical equation.

However, I have no obvious context to go off from the question. So a "default" would be something like PRESS: $$PRESS=\sum_{i=1}^{N} (Y_{i}-\hat{Y}_{i,-i})^2$$ Where $\hat{Y}_{i,-i}$ is the predicted value for $Y_{i}$ for a model fitted without the ith data point ($Y_i$ doesn't influence the model parameters). The terms in the summation are also known as "deletion residuals". If this is too computationally expensive to do $N$ model fits (although most programs usually gives you something like this with the standard output), then I would suggest grouping the data. So you set the amount of time you are prepared to wait for $T$ (preferably not 0 ^_^), and then divide this by the time it takes to fit your model $M$. This will give a total of $G=\frac{T}{M}$ re-fits, with a sample size of $N_{g}=\frac{N\times M}{T}$. $$PRESS=\sum_{g=1}^{G}\sum_{i=1}^{N_{g}} (Y_{ig}-\hat{Y}_{ig,-g})^2$$ A way you can get an idea of how important each variable is, is to re-fit an ordinary regression (variables in the same order). Then check proportionately how much each estimator has been shrunk towards zero $\frac{\beta_{LASSO}}{\beta_{UNCONSTRAINED}}$. Lasso, and other constrained regression can be seen as "smooth variable selection", because rather than adopt a binary "in-or-out" approach, each estimate is brought closer to zero, depending on how important it is for the model (as measured by the errors).

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    $\begingroup$ all you've appeared to do above is describe leave-one-out cross validation and $k$-fold cross validation. The former is rarely used these days due to high variance and usually large computational costs (some regression settings being the exception). As for your remarks on influence, if $p > n$ there are no unique least-squares estimates, which is a complication. Also, the signs of the parameter estimates can be different as well. I'm not positive, but even when the OLS estimates exist, there may still be situations where your ratio could be $> 1$ for some parameters. $\endgroup$ – cardinal Feb 16 '11 at 15:02
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The R package hdm and the Stata package lassopack support a joint significance test for the lasso. The theory allows for the number of predictors to be large relative to the number of observations. The theory behind the test and how to apply it is briefly explained in the hdm documentation. In short, it's based on a framework for theory-driven penalisation (developed by Belloni, Chernozhukov and Hansen, et al.). This paper is a good starting point if you want to know more about the underlying theory. The only downside is that the test only works for the lasso and (square-root lasso). Not for other penalized regression methods.

Belloni, A. , Chen, D. , Chernozhukov, V. and Hansen, C. (2012), Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain. Econometrica, 80: 2369-2429.

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  • $\begingroup$ please add the full reference of the paper (a link can die) $\endgroup$ – Antoine Apr 5 '18 at 9:34

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