Nested Model Averaging on Solution Path for High-dimensional Linear Regression

Abstract: We study the nested model averaging method on the solution path for a high-dimensional linear regression problem. In particular, we propose to combine model averaging with regularized estimators (e.g., lasso and SLOPE) on the solution path for high-dimensional linear regression. In simulation studies, we first conduct a systematic investigation on the impact of predictor ordering on the behavior of nested model averaging, then show that nested model averaging with lasso and SLOPE compares favorably with other competing methods, including the infeasible lasso and SLOPE with the tuning parameter optimally selected. A real data analysis on predicting the per capita violent crime in the United States shows an outstanding performance of the nested model averaging with lasso.