A greedy regression algorithm with coarse weights offers novel advantages.

ABSTRACT: Regularized regression analysis is a mature analytic approach to identify weighted sums of variables predicting outcomes. We present a novel Coarse Approximation Linear Function (CALF) to frugally select important predictors and build simple but powerful predictive models. CALF is a linear regression strategy applied to normalized data that uses nonzero weights + 1 or - 1. Qualitative (linearly invariant) metrics to be optimized can be (for binary response) Welch (Student) t-test p-value or area under curve (AUC) of receiver operating characteristic, or (for real response) Pearson correlation. Predictor weighting is critically important when developing risk prediction models. While counterintuitive, it is a fact that qualitative metrics can favor CALF with ± 1 weights over algorithms produ

SUBMITTER: Jeffries CD 

PROVIDER: S-EPMC8971398 | biostudies-literature | 2022 Mar

REPOSITORIES: biostudies-literature