Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230770
Authors: 
Zbonakova, Lenka
Pio Monti, Ricardo
Härdle, Wolfgang Karl
Year of Publication: 
2018
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2018-059
Abstract: 
High-dimensional, streaming datasets are ubiquitous in modern applications. Examples range from nance and e-commerce to the study of biomedical and neuroimaging data. As a result, many novel algorithms have been proposed to address challenges posed by such datasets. In this work, we focus on the use of L1 regularized linear models in the context of (possibly non-stationary) streaming data. Recently, it has been noted that the choice of the regularization parameter is fundamental in such models and several methods have been proposed which iteratively tune such a parameter in a time-varying manner, thereby allowing the underlying sparsity of estimated models to vary. Moreover, in many applications, inference on the regularization parameter may itself be of interest, as such a parameter is related to the underlying sparsity of the model. However, in this work, we highlight and provide extensive empirical evidence regarding how various (often unrelated) statistical properties in the data can lead to changes in the regularization parameter. In particular, through various synthetic experiments, we demonstrate that changes in the regularization parameter may be driven by changes in the true underlying sparsity, signal-to-noise ratio or even model misspecication. The purpose of this letter is, therefore, to highlight and catalog various statistical properties which induce changes in the associated regularization parameter. We conclude by presenting two applications: one relating to nancial data and another to neuroimaging data, where the aforementioned discussion is relevant.
Subjects: 
Lasso
penalty parameter
stock prices
neuroimaging
JEL: 
C13
C15
C63
Document Type: 
Working Paper

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