Cluster Regularization via a Hierarchical Feature Regression

• URL: http://arxiv.org/abs/2107.04831v1
• Date: Sat, 10 Jul 2021 13:03:01 GMT
• Title: Cluster Regularization via a Hierarchical Feature Regression
• Authors: Johann Pfitzinger
• Abstract summary: This paper proposes a novel cluster-based regularization - the hierarchical feature regression (HFR) It mobilizes insights from the domains of machine learning and graph theory to estimate parameters along a supervised hierarchical representation of the predictor set. An application to the prediction of economic growth is used to illustrate the HFR's effectiveness in an empirical setting.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Prediction tasks with high-dimensional nonorthogonal predictor sets pose a challenge for least squares based fitting procedures. A large and productive literature exists, discussing various regularized approaches to improving the out-of-sample robustness of parameter estimates. This paper proposes a novel cluster-based regularization - the hierarchical feature regression (HFR) -, which mobilizes insights from the domains of machine learning and graph theory to estimate parameters along a supervised hierarchical representation of the predictor set, shrinking parameters towards group targets. The method is innovative in its ability to estimate optimal compositions of predictor groups, as well as the group targets endogenously. The HFR can be viewed as a supervised factor regression, with the strength of shrinkage governed by a penalty on the extent of idiosyncratic variation captured in the fitting process. The method demonstrates good predictive accuracy and versatility, outperforming a panel of benchmark regularized estimators across a diverse set of simulated regression tasks, including dense, sparse and grouped data generating processes. An application to the prediction of economic growth is used to illustrate the HFR's effectiveness in an empirical setting, with favorable comparisons to several frequentist and Bayesian alternatives.

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