Application of LASSO to the Eigenvector Selection Problem in Eigenvector-based Spatial Filtering

Hajime Seya

doi:10.1111/gean.12054

Application of LASSO to the Eigenvector Selection Problem in Eigenvector-based Spatial Filtering

2014-09-22

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DOI：10.1111/gean.12054

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Eigenvector-based spatial filtering is one of the often used approaches to model spatial autocorrelation among the observations or errors in a regression model. In this approach, a subset of eigenvectors extracted from a modified spatial weight matrix is added to the model as explanatory variables. The subset is typically specified via the selection procedure of the forward stepwise model, but it is disappointingly slow when the observations n take a large number. Hence, as a complement or alternative, the present article proposes the use of the least absolute shrinkage and selection operator (LASSO) to select the eigenvectors. The LASSO model selection procedure was applied to the well-known Boston housing data set and simulation data set, and its performance was compared with the stepwise procedure. The obtained results suggest that the LASSO procedure is fairly fast compared with the stepwise procedure, and can select eigenvectors effectively even if the data set is relatively large (n = 10(4)), to which the forward stepwise procedure is not easy to apply.

Keywords:

REGRESSION

MODELS

AUTOCORRELATION

ECONOMETRICS

MATRIX

STATISTICS

ALGORITHM

DEMAND

ERRORS

Application of LASSO to the Eigenvector Selection Problem in Eigenvector-based Spatial Filtering

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