• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.27-39
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• 2016

This paper considers variable selection in the sparse vector autoregressive (sVAR) model where sparsity comes from setting small coefficients to exact zeros. In the estimation perspective, Davis et al. (2015) showed that the lasso type of regularization method is successful because it provides a simultaneous variable selection and parameter estimation even for time series data. However, their simulations study reports that the regular lasso overestimates the number of non-zero coefficients, hence its finite sample performance needs improvements. In this article, we show that the adaptive lasso significantly improves the performance where the adaptive lasso finds the sparsity patterns superior to the regular lasso. Some tuning parameter selections in the adaptive lasso are also discussed from the simulations study.

• The Korean Journal of Applied Statistics
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• v.32 no.6
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• pp.909-922
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• 2019

In this paper, we study the adaptive least absolute shrinkage and selection operator (LASSO) for the unstable autoregressive (AR) model. To identify the existence of the unit root, we apply the adaptive LASSO to the augmented Dickey-Fuller regression model, not the original AR model. We illustrate our method with simulations and a real data analysis. Simulation results show that the adaptive LASSO obtained by minimizing the Bayesian information criterion selects the order of the autoregressive model as well as the degree of differencing with high accuracy.

• The Korean Journal of Applied Statistics
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• v.23 no.1
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• pp.207-218
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• 2010

Generalized additive model(GAM) is the statistical model that resolves most of the problems existing in the traditional linear regression model. However, overfitting phenomenon can be aroused without applying any method to reduce the number of independent variables. Therefore, variable selection methods in generalized additive model are needed. Recently, Lasso related methods are popular for variable selection in regression analysis. In this research, we consider Group Lasso and Elastic net models for variable selection in GAM and propose an algorithm for finding solutions. We compare the proposed methods via Monte Carlo simulation and applying auto insurance data in the fiscal year 2005. lt is shown that the proposed methods result in the better performance.

• The Korean Journal of Applied Statistics
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• v.34 no.2
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• pp.205-223
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• 2021

In this paper, we study a method to determine the existence of unit roots by using the adaptive lasso. The previously proposed method that applied the adaptive lasso to the original time series has low power when there is an unknown trend. Therefore, we propose a modified version that fits the ADF regression model without deterministic component using the adaptive lasso to the detrended series instead of the original series. Our Monte Carlo simulation experiments show that the modified method improves the power over the original method and works well in large samples.

• Journal of the Korean Data and Information Science Society
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• v.25 no.4
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• pp.881-891
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• 2014

Graphical models can be used as an intuitive tool for modeling a complex stochastic system with a large number of variables related each other because the conditional independence between random variables can be visualized as a network. Graphical least absolute shrinkage and selection operator (LASSO) is considered to be effective in avoiding overfitting in the estimation of Gaussian graphical models for high dimensional data. In this paper, we consider the model selection problem in graphical LASSO. Particularly, we compare various model selection criteria via simulations and analyze a real financial data set.

• Journal of the Korean Data and Information Science Society
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• v.24 no.3
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• pp.533-541
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• 2013

In this study, a simple principal component analysis using Lasso is proposed. This method consists of two steps. The first step is to compute principal components by the principal component analysis. The second step is to regress each principal component on the original data matrix by Lasso regression method. Each of new principal components is computed as the linear combination of original data matrix using the scaled estimated Lasso regression coefficient as the coefficients of the combination. This method leads to easily interpretable principal components with more 0 coefficients by the properties of Lasso regression models. This is because the estimator of the regression of each principal component on the original data matrix is the corresponding eigenvector. This method is applied to real and simulated data sets with the help of an R package for Lasso regression and its usefulness is demonstrated.

• The Korean Journal of Applied Statistics
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• v.33 no.6
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• pp.723-738
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• 2020

In this paper, we study a method to discriminate between trend stationary and difference stationary processes. Since a crucial ingredient of this discrimination is to determine the existence of unit root, we can use a unit root testing strategy. So, we introduce a discrimination based on unit root testing and propose the method using the adaptive lasso. Our Monte Carlo simulation experiments show that the adaptive lasso improves the discrimination accuracy when the process is trend stationary, but has lower accuracy than unit root strategy where the process is difference stationary.

• The Korean Journal of Applied Statistics
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• v.28 no.6
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• pp.1063-1073
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• 2015

In the long-term care insurance (LTCI) system, National Health Insurance Service (NHIS) provide counseling services for beneficiaries and their family caregivers, which help them use LTC services appropriately. The purpose of this study was to develop a Target Selection Model for the Counseling Services based on needs of beneficiaries and their family caregivers. To develope models, we used data set of total 2,000 beneficiaries and family caregivers who have used the long-term care services in their home in March 2013 and completed questionnaires. The Target Selection Model was established through various data-mining models such as logistic regression, gradient boosting, Lasso, decision-tree model, Ensemble, and Neural network. Lasso model was selected as the final model because of the stability, high performance and availability. Our results might improve the satisfaction and the efficiency for the NHIS counseling services.

• The Korean Journal of Applied Statistics
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• v.29 no.4
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• pp.643-656
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• 2016

High dimensional data are frequently encountered in various fields where the number of variables is greater than the number of samples. It is usually necessary to select variables to estimate regression coefficients and avoid overfitting in high dimensional data. A penalized regression model simultaneously obtains variable selection and estimation of coefficients which makes them frequently used for high dimensional data. However, the penalized regression model also needs to select the optimal model by choosing a tuning parameter based on the model selection criterion. This study deals with the bias effect of LASSO regression for model selection criteria. We numerically describes the bias effect to the model selection criteria and apply the proposed correction to the identification of biomarkers for lung cancer based on gene expression data.

• Journal of the Korean Data and Information Science Society
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• v.25 no.6
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• pp.1371-1383
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• 2014

Classification ensemble technique is a method to combine diverse classifiers to enhance the accuracy of the classification. It is known that an ensemble method is successful when the classifiers that participate in the ensemble are accurate and diverse. However, it is common that an ensemble includes less accurate and similar classifiers as well as accurate and diverse ones. Ensemble pruning method is developed to construct an ensemble of classifiers by choosing accurate and diverse classifiers only. In this article, we proposed an ensemble pruning method called WAVE-bagging. We also compared the results of WAVE-bagging with that of the existing pruning method called Lasso-bagging. We showed that WAVE-bagging method performed better than Lasso-bagging by the extensive empirical comparison using 26 real dataset.