Efficient algorithm to select tuning parameters in sparse regression modeling with regularization

Abstract: In sparse regression modeling via regularization such as the lasso, it is important to select appropriate values of tuning parameters including regularization parameters. The choice of tuning parameters can be viewed as a model selection and evaluation problem. Mallows' $C_p$ type criteria may be used as a tuning parameter selection tool in lasso-type regularization methods, for which the concept of degrees of freedom plays a key role. In the present paper, we propose an efficient algorithm that computes the degrees of freedom by extending the generalized path seeking algorithm. Our procedure allows us to construct model selection criteria for evaluating models estimated by regularization with a wide variety of convex and non-convex penalties. Monte Carlo simulations demonstrate that our methodology performs well in various situations. A real data example is also given to illustrate our procedure.