One-step sparse ridge estimation with folded concave penalty

Abstract

The local linear approximation algorithm is an effective algorithm for computing a global solution of the folded concave penalization problem. However, the effectiveness of this method is highly dependent on a reasonably good initial estimator. It will lose efficacy when the correlation among predictors is high. In this paper, we propose a new local linear approximation ridge algorithm designed to deal with highly correlated predictors. The ridge estimator is chosen as an initial estimator, the local linear approximation ridge algorithm is stable and effective. Simulation studies and a real data analysis show that the proposed algorithm has better performance than the local linear approximation algorithm in the presence of highly correlated predictors.